| 单阶段R&D项目与有价证券投资组合优化的情景生成模型 |
| |
| 引用本文： | 陈丽华,尹伟力,房勇,陈冲.单阶段R&D项目与有价证券投资组合优化的情景生成模型[J].系统工程理论与实践,2012,32(8):1639-1646. |
| |
| 作者姓名： | 陈丽华 尹伟力 房勇 陈冲 |
| |
| 作者单位： | 1. 北京大学 光华管理学院, 北京 100871;2. 中国科学院 数学与系统科学研究院, 北京 100190;3. 北京大学 数学科学学院, 北京 100871 |
| |
| 摘 要： | 不确定性是市场的本质, 分散投资于不同种类的资产可以降低投资整体的风险, 并增加在长期投资中获得更多收益的可能性. 基于矩近似方法, 建立了单阶段R&D项目与有价证券的投资组合优化问题的情景生成模型, 并通过一个实例来说明该模型的分析过程. 研究成果为进一步研究单阶段R&D项目与有价证券的投资组合问题奠定了理论基础和决策支持.
|
| 关 键 词： | R&D项目 有价证券 投资组合优化 情景生成 |
| 收稿时间： | 2010-04-26 |
Scenario generation model for single stage R&D projects and securities portfolio optimization |
| |
| CHEN Li-hua
,
YIN Wei-li
,
FANG Yong
,
CHEN Chong.Scenario generation model for single stage R&D projects and securities portfolio optimization[J].Systems Engineering —Theory & Practice,2012,32(8):1639-1646. |
| |
| Authors: | CHEN Li-hua YIN Wei-li FANG Yong CHEN Chong |
| |
| Institution: | 1. Guanghua School of Management, Peking University, Beijing 100871, China;2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;3. School of Mathematical Sciences, Peking University, Beijing 100871, China |
| |
| Abstract: | Uncertainty is the essence of market,and the investors can reduce risk and increase the probability of making profit by efficient diversification of investment.Using moment approximation method, this paper established a scenario generation model for single stage R&D projects and securities portfolio optimization problem,and gave an example about how to using this model.This paper laid the theoretical foundation and decision support for the further study on single stage R&D projects and securities portfolio optimization problem. |
| |
| Keywords: | R&D project securities portfolio optimization scenario generation |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《系统工程理论与实践》浏览原始摘要信息 |
| 点击此处可从《系统工程理论与实践》下载免费的PDF全文 |
|
