| 需求依赖价格下港口存货质押业务中质押率研究 |
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| 引用本文： | 鲁渤,杨显飞,汪寿阳.需求依赖价格下港口存货质押业务中质押率研究[J].运筹与管理,2018,27(5):104-109. |
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| 作者姓名： | 鲁渤 杨显飞 汪寿阳 |
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| 作者单位： | 1.大连大学 国际学院,辽宁 大连 116622;2.大连大学 智慧航运与物流网络技术国家地方联合工程实验室,辽宁 大连 116622;3.大连大学 经济管理学院,辽宁 大连 116622;4.中国科学院大学 经济与管理学院,北京 100190 |
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| 基金项目： | 国家自然科学基金(71573028,71703011,7181101001,71781330123);辽宁省高校创新人才项目(WR2017002);辽宁自然科学基金面上项目(201601006,20170540030);大连市科技之星项目(2016RQ074) |
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| 摘 要： | 港口与银行合作办理质押贷款业务,不仅能增加港口的存储收入和金融收入,同时也能吸引更多的客户,从而增加其主营业务收入。在银行统一授信港口情况下,本文分析了质押物品的需求依赖价格条件下,风险中性的港口质押贷款业务中的最优质押率计算方法。并分别分析了在乘积型和加型随机需求函数条件下,质押产品价格、企业违约概率和质押物品数量以及质押期限对最优质押率和港口最大期望收益的影响,并通过数值分析验证了所有结论。
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| 关 键 词： | 港口质押贷款 质押率 需求依赖价格 随机需求函数 |
| 收稿时间： | 2017-10-13 |
Loan-to-value Ratio of Port’s Inventory Financing with Price Dependent Demand |
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| LU Bo,YANG Xian-fei,WANG Shou-yang.Loan-to-value Ratio of Port’s Inventory Financing with Price Dependent Demand[J].Operations Research and Management Science,2018,27(5):104-109. |
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| Authors: | LU Bo YANG Xian-fei WANG Shou-yang |
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| Affiliation: | 1.International College, Dalian University, Dalian 116622, China;2.National Joint Engineering Laboratory for Intelligent Shipping and Logistics Network Technology, Dalian University, Dalian 116622, China;3.School of Economics and Management, Dalian University, Dalian 1166224, China;4.School of Economics and Management, UCAS, Beijing 100190, China |
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| Abstract: | Cooperating with bank for inventory financing, port not only can increase storage income and financing income, but also can attract more customers to improve income of main business. It is assumed that bank grants unified credit to port. So port takes all financial risks. This paper introduces calculation model of optimal loan-to-value ratio and maximum expected profit of port which is risk neutral, when demand is dependent on inventory price. And analysis is shown about impacting on optimal Loan-to-value ratio and maximum expected profit by price of inventory, enterprise default probability, quantity of inventory and pledge period under the condition of multiplicative and additive stochastic demand function. And all the conclusions are verified by numerical analysis. |
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| Keywords: | port’s inventory financing loan-to-value ratio price dependent demand stochastic demand function |
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