Ship Investment Under Uncertainty

International shipping industry is a service industry of intensive capital and high investment risk. Ships investment, as one of the most important strategic activities in the shipping business activities of enterprises, is related to the overall production and operation of the shipping business, as well as the changes in the fleet structure and transport capacity. The decision-making of ship investment has a direct impact on the entire process from the purchase of ships to the operation management and the future operating efficiency of the shipping enterprises.Since the international shipping market is greatly affected by the world economy and international trade, the international Ship investment environment is complex and of multilevel nature, the international shipping market is highly cyclical and volatile, the international shipping investment projects occupy intensive capitals, a long period of the investment recovery and numerous uncertain factors. Therefore, the international shipping investment project is of very high uncertainty. The study of the decision-making of the international shipping investment with high uncertainty has very important theoretical and practical significance on shipping enterprises to help them avoid risks and enhance their competitiveness.Based on the domestic and foreign research, the dissertation applied the investment theory with uncertainty and real options theory to the area of shipping investment. The contents and the conclusions were as follows.First, the dissertation constructed the applicable framework of the continuous-time real options theory in the international shipping investment decision-making. In order to deal effectively with the uncertainty of the international shipping, the dissertation applied the real options theory with continuous-time to the theory and the methods on the international shipping investment decision. After the anaiysis of the international shipping market and the investment characteristics of the ships, the dissertation studied the development process of financial economics and the applicability of real options in the international shipping vessels investment decision.Secondly, the dissertation researched the behavior patterns of the maritime price fluctuations. As the maritime price is not only the core variable of the international ocean shipping vessels investment decision, but also the main characteristic of uncertainty on the internationai shipping market, the dissertation made a detailed analysis on fluctuating law of the maritime price. Through the theoretical analysis and the empirical study, by means of graphics and financial econometrics on shipping prices, the dissertation got a conclusion that the time scale between mean regression and random walk on the international dry bulk shipping market was 18 months. The increase of seaborne prices accorded with the return characteristics with the growth of time span while the price was more in line with the characteristics of random walk with the reduction of time span.Thirdly, the basic model of ship investment decisions was established. After the analysis of the hypothesis that the short-term maritime price was consistent with the random walk. The real options theory was used to establish the basic model of maritime price without operating costs and following the geometric Brownian motion. The real options hedging strategy was used to build a risk-free investment portfolio of ships, thus obtaining differential equations on the ship investment value and the option value. The optimal investment rule of basic model of ship investment decision was obtained through the combination of Value Matching Condition (VMC) and Smooth Paste Condition (SPC). After the construction of the basic model, the year-term lease market of Panamax dry bulk vessel was made as an example for empirical study. The parameters of Panamax dry bulk carrier in the year-term lease market was estimated by the application of financial econometrics theory, the investment threshold of year-term-lease Panamax dry bulk carrier was calculated by the model and parameter sensitivity analysis was made. The empirical results indicated the validity of the model.Fourthly, deeper study was made on the basic model of the ship investment decision. The dissertation discussed the assumptions of "no operating costs" and "shipping prices random walk" in the basic model. According to the two assumptions, the ship investment decision-making model considering the operating costs was established. An example of Panamax vessels on the US/Jap routes was made for empirical study and parameter sensitivity analysis was made as well. The empirical results indicate the validity of the model. Then, a long-term ship investment decision-making model was established with the maritime price obeying the mean reversion process. After the calculation of shipping investment project value and option value, and the combination of VMC and SPC as well, the optimal investment rules of ship investment model was obtained with the maritime price obeying the mean reversion process.On the basis of extensive research, the prospects were pointed out on the international shipping investment decision with uncertainty.The international maritime shipping investment decision-making system was established by way of economic theory, continuous dynamic real options theory, financial econometrics theory, and the theory and methods of differential equations.The innovation points were as follows. (1) The dissertation explored the application of real options theory to the ship investment decisions, constructed the theory framework of ship investment decision by real option theory.(2) Research of Ship investment decision dynamicly and continuously was made by combionation of shipping prices voiation study and ship investment study.(3) Financial econometrics was used to analyze the time series of seaborne price. By the division of the time span, the dissertation organically integrated two long-term different viewpoints of experts and scholars on the law of price fluctuations as random walk and the mean regression.(4) The basic model of the ship investment decision was established by real options theory. Real options hedging strategy was used to build a risk-free investment portfolio of ships, to study the ship investment project evaluation with uncertain thus leading to a more realistic ship investment rules and to demonstrate with examples.(5) The dissertation made a deeper research on the basic model of the ship investment decision-making. By relaxing two assumptions in the basic model, without operating costs and ocean prices random walk, the ship investment decision-making model under the operation of the ship and the ship investment decision-making model under mean reversion process were created respectively.