市場リスクを伴う資産の最適売却タイミング に関する分析モデルの研究

Abstract

市場リスクを伴う資産は適切なタイミングでの売却により，継続保有よりも大きな利益を獲得できる．商社は従来より鉱山事業経営に参画しリアルオプションを用いて，採掘量・コストをコントロールし利益の最大化を図っている．従来はリアルオプション適用に際して裁定機会を表せず，鉱山の売却は考慮されなかった．本研究では，銅鉱山を対象として銅価格のボラティリティを考慮し，鉱山の最適売却タイミングを決定するための数値計算モデルを構築する．その上で，このモデルを応用し商社が鉱山事業の売却に際して迅速で的確な意思決定を行うためのフレームワークを提示する．これにより，商社は鉱山売買に時間的制約を伴う状況下でも迅速に意思決定を行い，売却先との条件交渉を優位に進められるため，本モデルは実務面で高い応用性・有用性を発揮する．By selling assets with market risk at the optimal time, there are possibilities that we can earn more profits than holding them continuously. General trading and investing companies called “Shosha” have been participating in mining business and using real options to maximize profits by controlling the amounts and costs of mining. However, it has not been possible to consider an arbitrage opportunity in applying real options, so selling mines has not been taken into account. In this research, we consider the volatility of copper prices for copper mines, build a numerical calculation model for determining the optimal time of selling mines and present a framework that Shosha can apply rapid and accurate decision-making in mining business. This enables them to make decisions quickly even under circumstances involving temporal restrictions on selling mines, and to advance the condition negotiations with the seller dominantly, so this model can demonstrate high applicability and usefulness on the practical side .