Abstract：This paper addressed the issue of loan-to-value ratios optimization on exporting offshore/in-transit inventory financing under the condition that the collateral price follows geometric Brownian motion process and shows a liner negative correlation with demand. Firstly, the probabilities of the events occurred in the exporting offshore/in-transit inventory financing were figured out through the analysis of conditional probability. After that, the piecewise function model of the shipping company's financing (expected) profit was established concerning both the land storage costs and ocean freights. Finally, this paper gave the optimization solution steps of the algorithm by using the numerical approximation method and analytical method. Numerical example verified the applicability and validity of the proposed model and algorithm. The results of sensitivity analysis show that the optimal loan-to-value ratio has a negative correlation with the price of collaterals and a positive correlation with the volume of collaterals, respectively; the maximum expected profit of the shipping company has a positive correlation with the price of collaterals. An additional finding is that the maximum expected profit of the shipping company rises firstly and then declines with the increasing of the volume of collaterals. The findings of this paper can provide a scientific reference for the shipping company in financing optimization decisions.
王滋承, 杨华龙, 周咏. 价格呈几何布朗运动规律的出口海陆仓质押率优化[J]. 系统工程理论与实践, 2017, 37(10): 2571-2581.
WANG Zicheng, YANG Hualong, ZHOU Yong. Optimization on loan-to-value ratios of exporting offshore/in-transit inventory financing with geometric Brownian motion process price. Systems Engineering - Theory & Practice, 2017, 37(10): 2571-2581.
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2017, Vol. 37 
