考虑破产风险约束的多项目投资组合决策模型  

Multi-project Portfolio Model with Bankruptcy Risk

作　　者：徐维军[1] 罗伟强[1] 张卫国[1] 

机构地区：[1]华南理工大学工商管理学院,广东广州510640

出　　处：《运筹与管理》2013年第6期92-98,共7页Operations Research and Management Science

基　　金：国家杰出青年科学基金资助项目(70825005);国家自然科学基金资助项目(71171086);教育部新世纪优秀人才支持计划(NCET-10-0401);广东省高等学校高层次人才项目(x2gsN9120260)

摘　　要：项目投资决策不导致破产事件的发生,是投资者获得预期收益的前提,故控制破产事件发生的概率至关重要。鉴于此,本文基于可信性测度理论,根据Roy的定义给出了未来现金流量隶属三角模糊变量的控制破产风险的数学表达式,并构建了项目投资过程中受到破产风险因素影响的具有破产风险约束的多项目投资组合决策模型。最后,运用遗传算法对模型进行求解,并给出算例演示本文模型的实用性和有效性。The premise of the expected returns for investors is the investment decision does not lead to bankruptcy . So controlling the probability of bankruptcy is essential .According to the credibility measure theory and the Roy’ s definition, we obtain the mathematic equation of bankruptcy risk control when the future cash flow is being the fuzzy variables .Under the effect of the bankruptcy factors in the investment process , we propose a multi-project portfolio decision model with bankruptcy risk control .Finally, we use the genetic algorithm to solve our proposed model , and a numerical example of project portfolio is given to illustrate the feasibility and the effectiveness of the proposed approaches .

关 键 词：可信性测度 破产风险 多项目投资组合 遗传算法 

分 类 号：F832[经济管理—金融学]