| 风险投资公司投资组合的优化模型 |
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| 引用本文： | 高峻峻,胡乐江,潘德惠. 风险投资公司投资组合的优化模型[J]. 系统工程学报, 2006, 21(1): 68-74 |
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| 作者姓名： | 高峻峻 胡乐江 潘德惠 |
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| 作者单位： | 1. 上海大学悉尼工商学院,上海,201800
2. 东北大学工商管理学院,辽宁,沈阳,110004 |
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| 基金项目： | 国家自然科学青年基金资助项目(70502020)，上海市教委资助项目(05A498) |
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| 摘 要： | 科学地做出风险资本的投资组合决策对提高风险投资公司的投资效率乃至加速我国风险投资业发展具有重要的战略意义.首先给出了风险投资公司投资的相对投资效果水平的衡量模型,然后运用平稳过程理论提出了风险投资公司向各企业下期投资的相对投资效果水平的预测模型,进而根据风险投资公司的风险类型,利用二次规划方法建立了投资组合的优化模型,为风险投资公司确定其向各企业下期投资的最佳比例提供理论参考.最后,用算例说明了模型的合理性和可行性.
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| 关 键 词： | 投资组合 组合风险 平稳过程 三角模糊数 |
| 文章编号： | 1000-5781（2006）01-0068-07 |
| 收稿时间： | 2003-01-22 |
| 修稿时间： | 2003-01-222005-11-18 |
Optimal model on investment combination of venture capital firm |
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| GAO Jun-jun,HU Le-jiang,PAN De-hui. Optimal model on investment combination of venture capital firm[J]. Journal of Systems Engineering, 2006, 21(1): 68-74 |
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| Authors: | GAO Jun-jun HU Le-jiang PAN De-hui |
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| Affiliation: | 1. Sydney Institution of Language and Commerce, Shanghai University, Shanghai 201800, China; 2. School of Business Administration, Northeastern University, Shenyang 110004, China |
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| Abstract: | It has very important meaning for improving the venture capital firm's investment efficiency and accelerating the development of venture capital industry in China to make scientific investment combination decisions.First,this paper gives a model on measuring the relative investment effect level of venture capital firm.Second,it presents a forecasting model on the relative investment effect level of the next period investment using stationary process theory,thereby an optimal model on investment combination is established according to the venture type of venture capital firm by using the secondary programming,which will provide venture capital firm with the theoretic basis to determine the optimal proportion to venture enterprises in the next period investments.Finally,an example is also given to show the feasibility and effectiveness of this model. |
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| Keywords: | investment combination combination venture stationary process triangle fuzzy number |
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