台湾大学政治学系 成本效益分析 44600/U0950：Cost and Benefit Analysis 　　　　　　　　　　　　　　　Meeting time: F 10:20 -12:10 (Room 3) 　　　　　　　　　　　　　　　Instructor: Risharng Chiang (Research Tower 215) 　　　　　　　　　　　　　　　Email: [email protected] 　　　　　　　　　　　　　　　Office Hours: 10:00 - 12:00 am, Thursday 课程纲要： 本课程将以公部门如何进行计画评估为主要授课内容，并辅以私部门之计画 评估，以因应私部门日渐参与公共服务计画之评估需求。课程将依计画参数确定 性与否的假设，区分两大授课内容。其一为确定下之成本效益分析，探讨之评估 方法将以折现後现金流量分析法为主；其二为不确定性下之成本效益分析，探讨 之评估方法将以决策分析与实体选择权分析为主。拟探讨之课题涵括成本与效益 之定义、社会折现率、成本有效性、风险报酬率、加权平均资金成本、资本资产 定价模式、多因子定价模式、机率性风险评估、选择权评价模式等。讨论之主体 对象涵括运输、电信、电力、水利、游憩区、工业区、科学园区、运动场、展览 会场及各项公共服务等计画。 Description: This course emphasizes three contents -- cost-benefit analysis, decision analysis, and real options analysis -- all of which pertain to decision making that must take into consideration the presence of significant public benefit and cost/risk. In public project, the risks of interest are those associated with large projects such as: the development of new public services; the building, maintenance, and operation of infrastructures; and the large greenfield projects such as power plant, etc. This course present and interpret some of the many frameworks helpful for balancing costs/risks and benefits which typically involve human safety, potential environmental effects, and large financial and technological uncertainties in large public projects. Course Content: The syllabus consists of 2 major blocks covering 4 interlocking topics. Part I. Covers the elements of project evaluation in the context of certainty: - Evaluation techniques for projects that exist more than 3 to 5 years. These feature the discounted cash flow analyses essential for any realistic assessment of significant public projects. Concepts for correctly modeling technically and economically efficient performance of projects. These derive from the economic notions of production and cost functions. These theoretical functions lose important technical realities, however, and need to be replaced by technical cost models derived from a deep understanding of the technical details of the project. Part 2. Presents the techniques for analyzing projects in the context of uncertainty. These are: - Decision and utility analysis. These two methods provide a coherent basis for determining the optimal value of possible choices in the design and management of a project and, thus, for determining an optimal choice. However, they do deal effectively with evaluation over time, because they do not support a way to do a discounted cash flow that properly accounts for changing patterns of risk. - Real Options analysis, an integrated approach that not only properly deals appropriately with evaluation over time in risky situations but also pinpoints the value of specific project design elements. It thus gives decision-makers and planners the means to decide what kinds of flexibility to build into a project, and when to exercise these options. With sufficient data, real options analysis directly calculates the value of flexible choices. More generally, as demonstrated theoretically and by example applications, real options analysis of public projects　requires approximate methods. Assignment and Procedures There will be five or six problems (which will count for about 30% of the course’s　grade) and three quizzes (total about 60% of the grade). Participation in 　discussion will　count for 10%. If you first make an effort to think things for yourself, I will be glad to help you with homework before it is due. Prerequisites and Preparation in Probability Elementary calculus, of which we little use, is the only formal prerequisite for this subject. There will two lectures after the first quiz on the elementary probabilistic ideas that appear in project evaluation. See me soon if your background in calculus and/or　elementary probably is of concern. Recommended Textbooks No textbook is required for this subject. A large number of textbooks cover each of the three main topics (cost and benefit analysis, decision analysis, and real option analtsis),　but none, to my knowledge, covers all three. While you may wish to purchase one or more of these books for future reference, you do not really need any for the class itself, as the materials that will be posted or distributed will be sufficient. However, four　textbooks at the order of its importance to this course (even all are optional for the　interested reader) are recommended below. The first two are reserved at the Law and　Social Science Library. 1. Campbell, H. F. and R. P. C. Browan, 2003, Benefit-Cost Analysis: Financial and Economic Appraisal using Spreadsheets, Cambridge University Press 2. Boardman, A. E., D. H. Greenberg, A. R. Vining, and D. L. Weimer, 2006, Cost-Benefit Analysis: Concepts and Practice, Prentice Hall 3. Bertsimas, D., and R. M. Freund, 2000, Data, Models, and Decisions: The Fundamental of Management Science, South-Western College Publishing, Cincinnati, OH. 4. Trigeorgis, L, 2000, Real Options: Managerial Flexibility and Strategy in Resource　Allocation, MIT Press Course Schedule: Part I. Cost and Benefit Analysis Facing Certainty 09/22 Introduction: Background and Fundamental Premises 09/29 Cost-Benefit Analysis (CBA): Economic Evaluation Techniques 10/06 Mid-Fall Festival; No class 10/13 CBA: Measures of Effectiveness and Capital Budgeting 10/20 CBA: Price Inflation; Cost Changes; Unequal Lifetimes 10/27 CBA: Presence of Uncertainty and Risk; Possibility of Catastrophic Failure 11/03 CBA: Evaluation over Time; Discount Rates for Private and Public Sector; Capital Asset Pricing Model 11/10 CBA: Value of Goods or Services with No Readily Available Market Prices; Variations on CBAApproach 11/17 Quiz 1 Part II. Cost and Benefit Analysis Facing Uncertainty 11/24 Review of Probability 12/01 Decision Analysis (DA): Background, Decision Trees; the Value of Information 12/08 DA: the Axioms of DA; the Concept of Utility; Decision Using Utilities; Typical Utility Functions 12/15 DA: Single Attribute Utility; Utility Measurement 12/22 Real Options Analysis (ROA): Basic Concepts and Option Valuation 12/29 ROA: Real Options; Valuation of Financial Options 01/05 ROA: Valuation by Simulation 01/12 ROA: Application of Real Options; Course Wrap Up 01/19 Quiz 2 --

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