1、 1 外文翻译 原文 Valuation of Long-Term Investments in Energy Assets under Uncertainty Material Source: Energies Author: Luis M. Abadie 1. Introduction When investing in energy assets, either revenues or costs or both of them depend on the quantities of commodities produced and consumed. Commodities price
2、s are typically established in spot and futures markets. These prices and other issues1 are subject to uncertainty, which renders the valuation model particularly important. A faulty assessment of uncertainty can lead to wrong investment decisions. Thus,using a (unduly) higher risk premium can push
3、managers to reject (relatively) less risky investments; and using a (unduly) lower risk premium can push them to accept (relatively) more risky investments. In order to value these investments, a number of traditional methods are usually adopted. Among them we can mention the life-cycle cost analysi
4、s, simple or discounted payback, benefit cost analysis(BCA), net present value (NPV) and internal rate-of-return (IRR). The life-cycle cost analysis computes the discounted costs of construction, acquisition, maintenance and operation over a period of time. The payback period is the number of years
5、until revenues exceed the initial disbursement. These methods, however, typically fail to grapple with the projects uncertainty in a satisfactory way.Besides, they make little or no use of spot and futures prices. Nonetheless, a model developed from the NPV, as the one in this paper, can correctly c
6、ope with uncertainty in the absence of flexibilities or options. McDonald analyzes to what extent rules of thumb such as payback and hurdle rates can approach the true value of an investment regarding projects with options under uncertainty. But this would be more appropriate in the case of small fi
7、rms according to Graham and Harvey; as they show, both the IRR and the NPV are used very frequently. These methods are even the most used methods, despite the 2 supremacy that the capital-budgeting literature acknowledges to methods of valuation under uncertainty.In particular, the article by Graham
8、 and Harvey collets the results from a survey that has been responded by 392 chief financial officers. They find that 74.9% always or almost always use NPV, while 75.7% always or almost always use IRR. This report also shows that a large number of firms use company-wide discount rates to evaluate pr
9、ojects rather than project-specific discount rates. More specifically, there are several papers on valuation of generation assets, some of which are cited here. Rocha et al. analyze the competitiveness of a thermal power plant in Brazil.Gollier et al. address the value of modularity in the choice be
10、tween a large nuclear power plant and a flexible sequence of nuclear power plants. Nasakkala and Fleten value a gas-fired power plant using a two-factor model for the spark spread. They apply this model to a base load power plant computing the optimal time to build. They also apply it to assess the
11、possibility to upgrade this plant, at a cost, to a peak load plant. Abadie and Chamorro analyze the choice between a base load gas-fired power plant and an integrated gasification combined cycle (IGCC) which operates in a flexible way (burning either coal or natural gas) using the cheapest fuel; the
12、y derive the optimal fuel prices to invest. Abadie and Chamorro address the valuation of a base load natural gas combined cycle power plant (NGCC) and a liquefied natural gas (LNG) facility with several American-type investment options following the least squares Monte Carlo approach. Deng , startin
13、g from futures contracts on electricity and natural gas, values generation and transmission assets. First he assumes a standard geometric Brownian motion (GBM) and then a mean-reverting model. Deng extends the former model to allow for jumps and spikes in prices. This paper deals with investments in
14、 a long-lived real asset that consumes or produces a regular flow of commodities (measured in physical units) over its useful life. This would be the case of a power plant operating as a base load plant or investments to enhance energy efficiency. These flows of actual revenues and expenses will dep
15、end on the spot market prices over its useful life. And the risk of these flows will determine their valuation at the current time. Even without any embedded options (which are addressed by RO analysis), the valuation of this type of investments depends on market prices. Thus, as a first step we nee
16、d a stochastic cash flows valuation model that is consistent with the markets. Then it will be possible to value options by applying this valuation model to the 3 process that governs commodity prices in the risk-neutral world. This can be accomplished by means of the numerical methods that are usua
17、l in the RO approach.Among them we have binomial lattices, Monte Carlo simulation, and finite difference methods. 2. Development of the NPV for Valuing Stochastic Cash Flows Traditionally several possible scenarios are considered. For each scenario, the cash flows at any time are computed and subseq
18、uently discounted to the present. The overall sum of all discounted flows in each scenario yields the NPV. More sophisticated analysis adopt a probabilistic distribution of scenarios to derive the expected net present value (ENPV) of those scenarios. The expected value of the cash flows is sometimes
19、 difficult to compute. In the case of a GBM this problem is particularly severe if we try to get the drift rate from historical prices. As shown by Gourieroux and Jasiak, it is very difficult to estimate the drift rate with any confidence. Therefore, it may not be convenient to make an ENPV-based va
20、luation in some cases, among them the GBM. The flexibilities or options available to the manager of a particular project can be of different types.Trigeorgis distinguishes: option to defer, time-to-build option, option to alter operating scale, option to abandon, option to switch, growth options, an
21、d multiple interacting options. In principle, for valuation purposes the most relevant ones for the project at hand should be addressed. For example, there can be an option to temporarily close down the plant, or to abandon it permanently, if revenues do not cover variable costs (e.g., fuel costs).
22、These options must be valued taking into account the potential costs to switching from one state to another (open, moth-balled, abandoned) and the probability that the project becomes again profitable in the future. Optionality is very hard to grasp in NPV computations with a unique discount rate.On
23、e of the first duties should always be to identify the options embedded in a given investment project. For example, the option to wait in a project to improve energy efficiency, the option to undertake investment on a modular basis, etc. The type of options will depend on the intrinsic characteristi
24、cs of the project. But the project design itself can be made more flexible, which renders the project more valuable for the manager. 3. Relevant Issues for an Economic Assessment From an economic point a view a number of issues are relevant. They are developed in the following subsections. Among the
25、m we mention: the costs of the fuels used, the efficiency of generation processes, the flexibility in the use of 4 alternative fuels, the flexibility in the output products, availability and reliability of the system, the environmental costs incurred, the value of the options that could be exercised
26、 at a given time, the annual maintenance costs, the expected useful life of the facilities, and other additional issues (consumption of water, easy disposal of pollutants such as mercury, cheap disposal of certain wastes, etc.). 4. Long-Term Valuation vs. Short-Term Valuation When a short-term optio
27、n or futures contract on an energy commodity is valued,a number of relevant issues must be considered; and they can add a great deal of complexity to the valuation model. Among them we can mention: (a) Seasonality: it is very usual in markets such as the market for natural gas, because of demands be
28、havior. (b) Stochastic volatility: typically, observed volatility is not constant. (c) Mean reversion: as seen above, if the commodities involved in the determination of the cash flows show mean reversion, it is an essential input to the valuation process. (d) Jumps: they are very usual in the marke
29、ts for electricity. (e) Behavior of the long-term equilibrium price. Depending on the particular commodity considered, most of the above issues should be taken into account in a short-term valuation. This can make it much harder to calibrate the model with market data. Besides, on some occasions the
30、 estimates can be rather unstable, thus leading to frequent calibrations. Now consider an energy asset which consumes or produces a given energy good or service at an almost constant rate over time. If we need to choose a model for long-term valuation of this asset, some features will be very import
31、ant, whereas others become almost irrelevant. Next we show that, under mean reversion, seasonality, jumps, and stochastic volatility are almost negligible for this kind of valuation. Therefore, the model can be specified rather properly by restricting ourselves to the short-term behavior with or wit
32、hout mean reversion and, if necessary, the dynamics of the long-term equilibrium price. 5. Conclusions In this paper we have analyzed how to value investments in energy assets that continuously produce and/or consume certain commodities which are traded in futures markets. The existence of ever more
33、 liquid futures markets, with contracts with ever longer maturities, makes it possible to value real assets consistently with futures prices. 5 We have analyzed several usual procedures to model futures markets. We have also derived the corresponding formula for valuing stochastic incomes using the
34、valuation methods well-known to energy-finance academics. We have seen the reduced impact of short-term phenomena like seasonality,jumps or stochastic volatility, on these long-term valuations. Nonetheless, they would be essential for the valuation of short-term derivatives. Similarly, we have seen
35、that the long-run equilibrium price in a risk-neutral setting is of paramount importance as an input to the valuation of investments with long lives. We have also analyzed the impact of reversion to the mean on the valuation of cash flows; specifically, a strong reversion entails a lower risk. Last,
36、 we have developed a valuation exercise of improvement in coal consumption to illustrate the above mentioned concepts. The results of the example show the impact of uncertainty and the shape of the futures curve on decision making when there is some option at hand, like the opportunity to delay an i
37、nvestment to improve energy efficiency. In these cases, high uncertainty coupled with market contango can make that, even with a zero cost of the investment in efficiency (it could be subsidized), some investments are not undertaken on sole economic rationality grounds. Even in situations of certain
38、ty,it could be optimal to postpone an investment if the market shows contango. Therefore, promotion ofinvestments to enhance efficiency should take into account these issues to be more effective since, unless these investments are undertaken, higher CO2 emissions will be poured to the atmosphere. La
39、st, we have seen that it is highly unlikely that a valuation based only on the NPV or the IRR provides results consistent with the market if market information is neglected; this holds irrespective of whether there are options or not. Similarly, valuations should take into account the information em
40、bedded in the futures curve, i.e., if the market shows backwardation or contango, to avoid misleading values. Clearly there is a need for a deeper analysis when the long-term equilibrium value is not constant. 6 译文 能源资产中的长期投资在不确定性条件下的估值 资料来源 : 能源 作者： 路易斯米阿巴迪 1、简介 当投资于能源资产时，无论是收入或费用，或两者 都取决生产和消费的商品的数
41、量。商品价格通常建立在现货和期货市场。 这些价格和其他问题都存在不确定性，这使得估值模式尤为重要。评估的不确定性可能导致错误的投资决策。因此，使用（过分）更高的风险溢价可以推动管理人员拒绝（相对）风险较小的投资；和使用（过分）低风险溢价可以迫使他们接受（相对）较高风险的投资。 为了这些投资的价值，通常会通过一些传统的方法。 其中我们可以提到生命周期成本分析，简单或折现回收期，效益成本分析（基本能力评估），净现值（ NPV）和内部收益率。 生命周期成本分析计算建设、采购、维护和操作一段时间内 的贴现的成本。 投资回收期是多少年，直到收入超过初始支出。 这些方法，通常应对不确定性项目的方式是不能令
42、人满意的。此外，他们很少或不利用现货和期货价。 尽管如此，在此文中，从净现值开发了一个模型能正确处理它的灵活性或期权的不确定性。 麦当劳分析，以何种程度的经验和障碍，如投资回报率可以接近规则的不确定性下的选项就与项目投资的真正价值。但是，这会是根据格雷厄姆和哈维小企业的情况适当的，正如他们表明，无论是内部收益率还是净现值使用都是非常频繁。即使这些方法是最常用的方法， 。 特别是，格雷厄姆和哈维文章夹头从已被 392 首席财务官的调查结果作出回应。他们发现 74.9，总是或几乎总是使用净现值，而 75.7总是或几乎总是使用内部回报率。这份报告还表明，很多的公司使用了贴现率来评估项目，而不是项目的
43、具体折扣率。 更具体地说，估价的发电资产，其中有些在这里引用的几篇论文。 罗恰等分析巴西科利尔等火力发电厂的竞争力。解决大型核电站与灵活的序列的核电厂的选择中的模块化设计的价值。 N是 akk铝 a 和 弗雷特 燃气电厂使用的火花传播的双因素模型。 他们应用此模式，以计算基本负荷发电厂的最7 佳时间来建立。他们还运用它来评估升级的可能性，这家工厂的成本，以一个高峰负荷工厂。阿巴迪和查莫罗语分析基本负荷之间的燃气电厂和整体煤气化联合循环发电（ IGCC），它以灵活的方式（燃烧煤或天然气）操作使用最便宜的燃料选择，使他们获得了最佳燃油价格投资。阿巴迪和查莫罗语解决一个基本负荷天然气联合循环电厂（的
44、 NGCC）和液化天然气（ LNG）与一些美国式的投资选择下列设施的最小二乘蒙特卡罗方法估值。 ，电力和天然气从期货合约开始就产生和传输的资产。他首先假设几何布朗运动标准然后是平均恢复的模型， 在 扩展模型前，以便跳过价格的峰值。 这篇论文涉及投资在长期的实际资产消耗或产生正常流量的测量物理单位使用寿命期间的商品。这将是发电厂的作为基础负荷实物或投资，以提高能源效率运行的情况。这些流动的实际收入和支出将取决于对现货市场价格在其使用寿命。这些资本流动的风险会确定及其在当前时间的价值。 即使没有任何嵌入选项（反渗透法处理），这种类型的投资的价值取决于 市场价格。因此，作为第一步我们必须是符合市场的
45、随机现金流估价模型。然后它将可能值选项通过应用这种估价模型控制风险中性全球大宗商品价格的过程。这可以完成惯常的反渗透法的数值方法的方式， 其中有二项格，蒙地卡罗模拟，有限差分法。 2、 估价的随机现金流的净现值发展 传统上被认为是几个可能的方案。对于每个情况下，现金流量在任何时间计算，随后贴现到现在。在每个场景所有特价总流量的净现值产量的总和。 更复杂的分析采用概率分布的方案，以获得预期的净现值（ ENPV）的这些方案。所需的现金流值有时很难计算。 在一个内涵报酬率的情况，这一问题尤其严重，如果我们试图从历史的价格获得漂移速率。正如杰奥克斯和杰西克所示，它是很难估计有任何信心的漂移速度。 因此
46、，它可能不太方便，在某些情况下，其中包括 内涵报酬率 基于净现值的估价。 可供选择的灵活性，或到一个特定的项目经理可以采用不同的类型。杰克奥克斯区分：选择推迟，时间对生成选项，选择改变经营规模，选择放弃，选择开关，增长选项和多种互动选项。原则上，估价目的为手头项目最相关的应予以解决。 例如，可以有一个选项，暂时关闭工厂，或将它永久放弃，如果收入不盖（如燃料成本）可变成本。这些选项必须重视并考虑到潜在的成本，从一个状态转换到另一个（开放，混成一团，被遗弃）的概率，该项目再次成为未来盈利 。可选性是很难把握的净现值计算的一个折扣率， 第一个任务之一应该是确定在一个特定的投资项目中嵌入的选项。例如，
47、可以选择等待一个项目，提高能源效率，选择以模块为基础进行投资等期权的类型将取决于项目的本质特征。 但是，项目设计本身可更灵活，这使得项目经理更有价值。 8 3、 一个经济评估相关问题 从经济角度看几个问题有关。 他们开发了以下各小节 。 其中我们提到：所使用的燃料成本，生成过程的效率，在替代燃料的使用灵活性，在输出产品，可用性和系统的可靠性灵活性，对环境发生的费用，该值可在特定的时间行使购股权，每年的维修费用，预计可使用年限的设施，和其他（消耗水，污染物如汞，易处置的低价出售其他问题某些废物等）。 4、长期估值对比短期估值 当一个短期的选项，或在能源商品期货合约的价值，对相关的一些问题必须予以
48、考虑时，可以通过相关复杂性对模型估值。其中我们提到： （一） 季节性：这是非常正常的市场，如天然气市场，因为需求的行为。 （二）随机波动性：通常情况下，观察到的波动性不是恒定的。 （三）均值回归：如上所述，如果在现金流量的确定涉及的商品展示均值回归，这是必要的投入，估价过程。 （四）跳跃：它们是在电力市场非常正常。 （五）长期均衡价格的行为。 这些都 取决于特定的商品 行为 ，上述问题最应考虑在短期估值。这可以使它更难校准市场数据的模型。此外，在某些情况下，估计可以是相当不稳定，从而导致频繁的校准。 现在考虑能源资产的消耗或生成给定的能源产品或服务几乎恒定速度随着时间的推移。如果我们 要选择的
49、这一资产的长期估值模型，有些功能将十分重要，而 其他 变得几乎毫不相干。 下一步，我们表明，在均值回归，季节性，跳跃，随机波动性几乎可以忽略不计这一估价样。因此，该模型可以指定，而适当地限制或不均值回复，如有需要，长期均衡 既是 短期行为的动态价格 。 5、结论 在本论文中我们分析了如何在能源资产价值的投资，不断生产和 /或消费是在期货市场上交易的某些商品。对期货市场的流动性越来越多的存在性与拉越长期限的合同，使人们可能获得的价值与实际资产的期货价格保持一致。 我们分析了几种常见的程序模型期货市场。我们还对随机产 生收入进行估价，估价方法使用众所周知的能源金融学者相应的公式。我们已经看到了像季节性，跳跃或随机波动的短期现象对这些长期估值减少影响。尽管如此，他们将对短期衍生物估值至关重要。 同样，我们已经看到，在一个风险中性设定长期均衡价格的最重要的是作为对长期生活与投资的估值投入。我们还分析了回归到对现金流量的估值平均影响，具体而言，需要一个强大的逆转的较低的风险。 最后，我们开发了煤炭消费改善估值工作，说明上述概念。示例的结果表9 明，不确定性
