考虑投资不确定性的项目组合选择IGDT模型  

IGDT Optimization Model of Project Portfolio SelectionConsidering Investment Uncertainty

作　　者：李金孟 李星梅[1,2] 闫庆友 艾星贝[1] 刘达 LI Jinmeng;LI Xingmei;YAN Qingyou;AI Xingbei;LIU Da(School of Economics and Management,North China Electric Power University,Beijing 102206,China;Beijing Key Laboratory of New Energy and Low-Carbon Development,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]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：《运筹与管理》2024年第6期199-206,共8页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(71772060);国家重点研发计划(2020YFB1707801)。

摘　　要：受政策的改变以及对新兴领域项目投资缺少足够认知的影响,管理者的项目投资行为往往呈现一定的不确定性。针对企业管理者在进行项目组合投资决策时存在一定风险偏好的情况,本文基于信息间隙决策理论(Information Gap Decision Theory,IGDT),引入净现值偏差系数对管理者的风险偏好进行描述,构建了考虑投资不确定性的项目组合选择新模型。采用包络约束对投资金额不确定性进行描述,给出风险规避与机会寻求两种策略下的项目组合选择IGDT优化模型,并将其转化成单层规划模型进行求解。通过算例仿真,验证了模型的有效性。结果表明:IGDT优化模型不仅满足了管理者投资的预期净现值要求,而且给出了最优的投资金额与项目选择结果。本文构建模型可以为管理者在项目风险管控和资金管理优化方面提供参考。With the continuous development of financial markets and industrial policies,the number of investment fields and projects available to enterprises is increasing.For an enterprise,the budget for project investment is usually limited,and selecting the set of projects that can maximize the return on investment under financial constraints has been the focus of attention in previous project portfolio selection problems.However,due to the outbreak of sudden public events,a large number of projects have been damaged or even stalled due to a lack of labor and supply chain disruptions,and countless enterprises have suffered from broken capital chains or even collapsed due to failure to meet expected revenue targets on time.Before such events occur,business managers must adjust revenue targets based on the environment and market conditions and make decisions on the project portfolio most likely to achieve the expected goals.At the same time,because of the policy change and the lack of sufficient knowledge of project investment in emerging areas,managers’project investment behavior often presents a certain degree of uncertainty.Corporate managers have a particular risk appetite when making portfolio investment decisions.Conservative decision-makers will reduce the investment amount to avoid risky losses;aggressive decision-makers will increase the investment amount to seek risky gains.Therefore,in the face of limited investment budgets and uncertain project returns,how enterprises make project portfolio choices based on risk expectations has become a significant challenge for managers and current research.Based on the above issues and context,this study introduces the concept of the net present value bias coefficient to describe the risk preferences of managers.The information gap decision theory(IGDT)is employed to formulate project portfolio selection models based on risk preferences.Specifically,the envelope constraint is utilized to represent the uncertainty of the investment budget.Based on this,a robust model under

关 键 词：项目组合选择 投资不确定性 信息间隙决策理论 主动打断 弹性时间段 资金约束 

分 类 号：C934[经济管理—管理学]