财务管理 - 企业财务规划最佳化模型

IntegrationofFinancialandPhysicalSupplyChainsJeremyF.Shapiro莫明鳳2003/4/292003/4/292AgendaIntroductionOptimizationModelsforCorporateFinancialPlanning企業財務規劃最佳化模型FinancialPlanningIssuesFacingtheMultinationalCorporation多國企業的財務規劃問題ANetworkIllustrationFinancialFlowsModelModelingExchangeRateRisksRealOptionsforHedgingRisksintheGlobalEconomyFinalThoughts2003/4/293IntroductionPurposeofintegrationImprovethefirm’sfinancialperformance.Strategicsupplychainplanning.Holisticallyoptimize,notindividually.ComplexforMNC.GoalofthischapterExamineoptimizationmodels.2003/4/294OptimizationModelsforCorporateFinancialPlanningFinancialdecision:strategic,tactical,operational.ModelingtheBalanceSheet.NumericalExampleofanOptimizationModelforCorporateFinancialPlanning.ModelandMethodologicalExtensions.2003/4/2959.1–ModelingBalanceSheet-1CA+FA-CL-L-E=0資產-負債-股東權益=0△=changeduringayear.△E(t)=PR(t)-D(t)股東權益=稅後利潤-股東紅利PR(t)=(1-r)(EBIT(t)-iL(t))稅後利潤=(1-稅率)*(稅前盈餘-長期負債*利率)r=稅率,i=利息△CA(t)+△FA(t)-△CL(t)-△L(t)-(1-r)(EBIT(t)-iL(t))+D(t)=0BalanceSheet–XYZCorporationCurrentAssets(CA)FixedAssets(FA)CurrentLiabilities(CL)Long-TermDebt(L)Equity(E)2003/4/2969.1–ModelingBalanceSheet-2Fundsflows△CA(t)-△L(t)+(1-r)iL(t)=-△FA(t)+△CL(t)+(1-r)EBIT(t)+D(t)Left:undercontroloffinancialplannersRight:outsidetheircontrolDecisionvariableDebt-to-equityconstraintL(t)=KE(t)K=1債本比DebtserviceconstraintEBIT(t)=SiL(t)S=5MinimumworkingcapitalconstraintCA(t)=WCL(t)W=2股東權益=長期負債稅前利潤=5*長期負債流動資產=2*短期負債2003/4/2979.1–NumericalExample-1AjaxComputerCorporation.GoalMaximizeweeklyrevenuefromsalesofthesecomputers.3-yearstrategyandnewproduct(lambda).Detailofinvestmentoptionsandconstraints1styear:design,identifysuppliers,acquireequipments.Expandproductioncapacity.Expandequipment.BalanceSheet–Ajax30萬(CA)130萬(FA)20萬(CL)60萬(L)80萬(E)2003/4/2989.1–NumericalExample-2DetailofinvestmentoptionsandconstraintsEBIT=grossrevenue–marketingandoverheadcosts.Maximizethecompany’sequityattheendof3years.Table9.1–OptimizationModel7C–7G財務變數初始值8C–8G第一年的改變值•C8=G8-D8+E8+F8•D8=K8+F8•E8=50•F8=0•G8=I9-J8△CA=△E-△FA+△CL+△L△FA=△L+投資△短期負債為外生變數△長期負債=0△E=PR-dividend2003/4/2999.1–NumericalExample-3Table9.1–OptimizationModelH8=C20*C21+D20*D21+E20*E21–3000I9=0.65*(H8-0.1*F9)L9=G9–F9(M9)H17=6240+C30(C31)I30=C29*C30+D29*D30+E29*E30+F30–G30–H30I38=0.9*H18+E49EBIT=grossrevenue–fixesmarketingandoverheadcostPR=(1-r)(EBIT–iL)L=EA-line=base+expansionNetCapital=grosscapital–負債2nd組裝產能=資產折舊率*1st組裝產能+2nd擴張產能2003/4/29109.1–NumericalExample-4BaseCase1styear•Beta&GammafallfarbelowUB.(D21,D25/E21,E25)•PRincreaseequityandCA.2ndyear•Lambda開始販賣.•PRincrease.(Icolumn)•GammafallbelowUB.(E40,E44)3rdyear•4productsattainmaximalsales.ExpansionCase2003/4/29119.1–NumericalExample-5BaseCaseExpansionCase12nd、3rdyear:1millionforlambdamarketing.Increasedemandby50%.Equityover300thousand.ExpansionCase2Re-optimize:maximizethediscountedsumofPR.Discountrate:80%Solutionisalmostidenticaltothebasecase.ExpansionCase3Lambdacomputerdevelopmentwasdropped.Poorerfinancialperformance.2003/4/29129.1–ModelandMethodologicalExtensionsModelextension5categoriesshouldberefinedtodescribevarioussubcategories.Increaseequitybyissuingnewshares.Explicitlyincorporatemarketingandsalesoptions.MethodologicalextensionLPMIPMultiobjectivesolutionStochasticprogrammingCombinedw/managerialjudgment,institutionalknowledge2003/4/2913AgendaIntroductionOptimizationModelsforCorporateFinancialPlanning企業財務規劃最佳化模型FinancialPlanningIssuesFacingtheMultinationalCorporation多國企業的財務規劃問題ANetworkIllustrationFinancialFlowsModelModelingExchangeRateRisksRealOptionsforHedgingRisksintheGlobalEconomyFinalThoughts2003/4/2914FinancialPlanningIssuesFacingtheMultinationalCorporationGoalMaximizethesumofPR.Recognizearangeofcostsandconstraintsassociatedw/cashflowandprofits.Wideranddeeperrangeofrisksthananationalcorporation.Fewrealisticmodelimplement.2003/4/2915AgendaIntroductionOptimizationModelsforCorporateFinancialPlanning企業財務規劃最佳化模型FinancialPlanningIssuesFacingtheMultinationalCorporation多國企業的財務規劃問題ANetworkIllustrationFinancialFlowsModelModelingExchangeRateRisksRealOptionsforHedgingRisksintheGlobalEconomyFinalThoughts2003/4/2916ANetworkIllustration-1Figure9.1p.404IntegrationofthephysicalandfinancialsupplychainsofaMNC.ParentcompanyincountryA.SubsidiaryincountryB.SubnetworkCashmanagementnetworks.Intersubsidiaryfinancialnetwork.Physicalsupplychainnetwork.2003/4/2917ANetworkIllustration-2CashflowintoA1v.sA2CashflowoutofA1ObjectivefunctionMaximizethediscountedsumofnetcashflowsintothecashbalancenodesoftheparentandthesubsidiaryattheendofthetwoperiod.OptimizationisacomplexandmultiobjectiveprocessforMNC.Parentcompanysubsidiary2003/4/2918AgendaIntroductionOptimizationModelsforCorporateFinancialPlanning企業財務規劃最佳化模型FinancialPlanningIssuesFacingtheMultinationalCorporation多國企業的財務規劃問題ANetworkIllustrationFinancialFlowsModelModelingExchangeRateRisksRealOptionsforHedgingRisksintheGlobalEconomyFinalThoughts2003/4/2919Fi