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Optimal Capital Structure and Financial Risk of Project Finance Investments.

机译：项目融资投资的最佳资本结构和财务风险。

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摘要

By making modifications to existing deterministic and stochastic capital structure decision models, this dissertation addresses three concerns related to the modeling of optimal capital structure for project finance investments: (1) how the nature of coverage ratio constraints affects the decision and its outcome; (2) how to determine the optimal capital structure when a multi-source financing strategy is used; and (3) the value of stochastic modeling in the process. The study addresses these concerns in three papers. The first paper focuses on deterministic optimization models. Here, the study first introduces multi-period constraints for dealing with coverage ratios when debt is homogeneous. It then relaxes the homogeneous debt assumption and considers the situation where debt is heterogeneous. With these modifications, the study examines the flaw of constraining average coverage ratios, and evaluates the effect of a multi-sourced financing strategy on the decision and its outcome. The second paper develops stochastic equivalents of the deterministic models. Here, the study incorporates simulation-based chance constraints to model default risk, when debt is homogeneous and when it is heterogeneous. The modifications in this paper allow the study to assess the importance of chance-constrained programming and the effect of a multi-sourced financing strategy when the capital structure decision is made under uncertainty. In the third paper, the study evaluates the effect of accounting for uncertainty when modeling the capital structure decision; first on the decision and then on project returns and default risk. It achieves this by comparing optimization and simulation results between the deterministic and stochastic models for the two cases of homogeneous and heterogeneous debt. In this regard, the study introduces stochastic dominance and reliability in evaluating the value of stochastic modeling when optimizing capital structure. The study shows that its modifications yield debt financing decisions for which project performance metrics are commensurate with stakeholder requirements and that, there is value in modeling and solving the debt financing decision problem under uncertainty.
机译：通过对现有的确定性和随机性资本结构决策模型进行修改，本文解决了与项目融资投资最优资本结构建模有关的三个问题：（1）覆盖率约束的性质如何影响决策及其结果； （2）采用多源融资策略时如何确定最优的资本结构； （3）过程中随机建模的价值。该研究在三篇论文中解决了这些问题。第一篇论文集中于确定性优化模型。在这里，该研究首先介绍了在债务均质时处理覆盖率的多期约束。然后，它放宽了同质债务假设，并考虑了债务异质性的情况。通过这些修改，本研究检查了限制平均覆盖率的缺陷，并评估了多来源融资策略对决策及其结果的影响。第二篇论文发展了确定性模型的随机等价物。在这里，这项研究结合了基于模拟的机会约束来对违约风险（债务是同质的和异构的）建模。通过本文的修改，本研究可以评估机会约束编程的重要性以及在不确定性下进行资本结构决策时多来源融资策略的效果。在第三篇论文中，研究评估了在对资本结构决策建模时考虑不确定性的影响。首先是决策，然后是项目回报和违约风险。它通过比较两种均质和异质债务案例的确定性模型和随机模型之间的优化和仿真结果来实现这一目标。在这方面，本研究引入了随机优势和可靠性，以评估优化资本结构时的随机建模价值。研究表明，对其进行修改可以产生债务融资决策，其项目绩效指标应与利益相关者的要求相称，并且在不确定性下建模和解决债务融资决策问题具有价值。

著录项

  • 作者

    Donkor, Emmanuel Amponsah.;

  • 作者单位

    The George Washington University.;

  • 授予单位 The George Washington University.;
  • 学科 Economics Finance.;Engineering Industrial.;Operations Research.
  • 学位 Ph.D.
  • 年度 2014
  • 页码 154 p.
  • 总页数 154
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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