Paper Info
Title
Expressway Investment Decision Making under Uncertainty
Abstract
The expressway system expanses rapidly in China recent years, and needs huge amount of investment to support the development of the system. During the decision-making, the investors require accurate quantitative analysis with proper model. The problem of expressway investment is embedded with numerous uncertainties due to changing in social, economic and environmental contexts. We can solve this problem with a real option approach which is popular in wide range of areas. This paper extends traditional Cost-Benefit Analysis to the uncertain process, and presents the Black-Scholes formula for evaluating of the uncertainty. A solution algorithm which transforms the Black-Scholes equation into constant coefficient diffusion equation is developed. The extended Cost-Benefit Analysis under uncertainty achieves investment decision-making optimality that is generally not well presented in traditional approaches for expressway planning.
Year
DOI
Venue
2009
10.1109/FSKD.2009.91
FSKD (4)
Keywords
Field
DocType
traditional approach,numerous uncertainty,expressway investment,traditional cost-benefit analysis,black-scholes equation,expressway investment decision,expressway planning,expressway system,constant coefficient diffusion equation,investment decision-making optimality,extended cost-benefit analysis,black-scholes formula,cost benefit analysis,diffusion equation,black scholes formula,black scholes equation,planning,transportation,quantitative analysis,investment,china,mathematical model,stochastic processes,uncertainty,investments
Mathematical optimization,Actuarial science,Computer science,Constant coefficients,Stochastic process,Black–Scholes model,Cost–benefit analysis,Artificial intelligence,Diffusion equation,Machine learning
Conference
Citations 
PageRank 
References 
0
0.34
3
Authors
5
Name
Order
Citations
PageRank
Huapu Lu1347.46
Xinxin Yu281.94
Changzhi Bian301.01
Xiaoqiang Zhao412225.75
Changwei Yuan500.68