考虑可挽回风险损失影响的项目组合决策问题研究  

Research on portfolio decision problem considering the influence of recoverable risk loss

作　　者：沈种 李星梅[1,2] SHEN Zhong;LI Xingmei(School of Economics and Management,North China Electric Power University,Beijing 102206,China;Beijing Key Laboratory of New Energy and Low-Carbon Development,North China Electric Power University,Beijing 102206,China)

机构地区：[1]华北电力大学经济与管理学院,北京102206 [2]华北电力大学新能源电力与低碳发展研究北京市重点实验室,北京102206

出　　处：《管理工程学报》2023年第2期164-173,共10页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71772060)。

摘　　要：现有考虑风险因素的项目组合决策问题将风险发生后造成的全部后果作为损失进行量化,却忽略了部分风险损失可以通过资本投入进行挽回这一重要特点。针对此类问题,本文引入努力预算这一概念,将全部可用资本划分为用于投资的项目预算和用于挽回风险损失的努力预算。通过分析与量化进行风险损失挽回这一行为产生的成本与收益,构建考虑可挽回风险损失影响的项目组合决策模型。为便于计算,本文对于模型中非线性的部分,提出相应的离散变量连乘积等价线性转化方法。最后,通过算例实验,进一步分析考虑可挽回风险损失及相关参数变动对组合决策的影响。结果表明:1)设置合理的努力预算,能够在降低组合风险的基础上进一步降低可挽回风险损失,为企业长期发展带来利益;2)随着用于损失挽回的努力预算比重提高,对提高综合效益起到的边际效用逐渐下降。With the development and expansion of economic globalization,it is becoming more and more diverse in the investment field for enterprises.That how businesses will winnow the project portfolio that can help them obtain the maximum benefit from alternatives without violating all kinds of constraints is called Project Portfolio Selection Problem(PPSP).The risk has seen a broader study in the field of research on PPSP as one of the important factors that can determine a project.In this field,the existing researches on the risk can be divided into two stages:at the first stage,researches focus on quantifying the risk value and creaming off the eligible project portfolio by doing so.However,such kind of researches are not helpful for decision makers to obtain a clear understanding of the relationship between risk and project revenue.In order to improve this disadvantage,researches at the second stage center on the description of the loss value resulting from the risk so as to provide a more concise basis for decision-makers.However,all such kind of existing studies have taken the consequences of risks to quantification as losses,but ignored the feature that some of these consequences can be recovered through such ways as capital investment.In terms of this status quo mentioned above,this dissertation introduces the concept of Retrievable Risk Loss and analyses how it affects PPSP.It starts with dividing the total capital budget into project budget and effort budget.The latter,mainly used in aspects including the prevention of the further spread of the risk,refers to the capital budget consumed by responding to the retrieval of some of the risk losses.Following that is the study on the cost and profit from retrieving the losses.Based on that,the PPSP model under the impact of retrievable risk loss is formulated.The thesis is divided into four parts:The first part introduces the set,parameters and variables required in the modeling process,thus underpinning for the following proceedings.The second part focuses on the ana

关 键 词：项目组合 项目组合选择 风险损失 

分 类 号：C934[经济管理—管理学]