基于质押物价格波动的动态存货组合质押贷款优化决策研究

As the financing of SMEs have become increasingly prominent and the credit risk remains high，this project intend to use portfolio optimization as the main research perspective and analysis tool to investigate dynamic decision-making mechanism and evolution law of combinatorial inventory pledge loan with price fluctuation. Under the conditions of single cycle, multi-cycle, bounded rationality and complex network system, we study enterprises, banks and TPL's optimization ways and strategy selection of combinatorial inventory pledge loan based on price fluctuation. First of all, we design "Humoral Immune Algorithm" to study the random decision rule of combinatorial inventory pledge loan, and use dynamic analytical framework to reveal the dynamic process and law of combinatorial strategy, then use the analysis framework of investment risk to explore pathway of introducing price fluctuation into dynamic combinatorial inventory pledge loan and risk control strategies. Secondly, introduce evolutionary game analysis methods with bounded rationality to develop combinatorial inventory pledge loan evolutionary game model to portray decision rules of combinatorial inventory pledge loan with price fluctuation, and study the equilibrium achieving path under different initial conditions. Finally, use evolutionary game approach of complex network to study Prisoner's Dilemma evolution process of combinatorial inventory pledge based on price fluctuation, and explore the Evolutionary Stable Strategy (ESS). This project provide not only the rules of decision making, but also the mechanism of dynamic optimization and price risk countermeasure for combinatorial inventory pledge loan.

在中小企业融资难问题日益突出、信贷风险居高不下的大背景下，以组合优化为主要研究视角和分析工具，探讨价格波动下存货组合质押贷款的动态决策机制和演进规律。在单周期、多周期、有限理性和复杂网络条件下，研究贷款企业、银行和TPL 基于价格波动的动态存货组合质押贷款优化途径和策略选择。首先，设计"体液免疫算法"研究存货组合质押随机决策规则，引入动态分析框架揭示质押组合策略的动态变化规律，并借鉴投资风险分析框架，探讨价格波动纳入动态存货组合质押的途径及风险控制策略；其次，引入有限理性的演化博弈方法，建立刻画价格波动下存货组合质押决策规则的演化博弈模型，研究不同初始条件下的均衡实现路径；最后，使用复杂网络上的演化博弈方法，研究存货组合质押价格波动下的囚徒困境演化进程，分析演化博弈的稳定均衡。项目研究既为存货组合质押贷款业务的完善提供依据，又从理论上探究存货组合质押贷款的动态优化规则和价格风险管控机制。

在中小企业融资难问题日益突出、信贷风险居高不下的大背景下，以组合优化为主要研究视角和分析工具，探讨价格波动下存货组合质押贷款的动态决策机制和演进规律。首先，在考虑质押物损耗情况下得出零售商的订货策略和银行收益变化规律。其次，用逆向归纳法求解存货组合质押监管讨价还价博弈的完美贝叶斯均衡，比较分析考虑转换成本和不考虑转换成本讨价还价的系统绩效。接着，构建单周期存货质押率模型，求出银行最优质押率和期望利润。然后，在考虑下侧风险约束条件下，构建存货组合质押模型，探讨存货组合质押率的设定规则。在单周期研究的基础上，构建了动态质押率模型，分析动态质押与存货期末价值的关系。最后，在对存货市场价值评估的基础上，对比分析不同条件下的贷款数额，得到中小企业通过质押组合进行风险规避的路径。.研究结论如下：一是最优质押率与贷款企业的质押贷款违约概率呈负相关关系，与对数收益率、对数波动率呈正相关关系，期望利润最大值与对数收益率、贷款利率、贷款周期呈正相关关系。二是动态存货质押下的每阶段末贷款企业的违约概率比静态存货质押小，与质押贷款周期相同的单周期静态质押相比，动态存货质押能够容忍的存货期末价格的下降幅度更大，并能取得更大的利润。三是最大组合质押率与银行所能承受的贷款损失度、风险容忍水平正相关，与借款企业的违约概率、贷款期限、贷款利率负相关。