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1.
服务产品设计方案的选择或组合问题是服务企业运作管理中最重要的内容之一.研究了服务产品设计过程中方案组合的决策方法.考虑不同服务要素下的备选方案之间的方向性相容关系,以服务产品满足顾客期望的程度最大化和服务产品的总体相容度最大化为目标,建立了服务产品设计中方案组合的多目标优化模型.根据模型的特点,设计出相应的多目标进化算法对模型进行求解,获得服务产品设计中的最优方案组合.最后,通过一个移动传媒服务产品的实际例子,验证提出方法的可行性和有效性.  相似文献   

2.
钢管生产的合同组批优化算法   总被引:1,自引:0,他引:1  
钢管生产的合同组批优化问题是一个典型的组合优化问题,对钢管生产企业的计划排程、生产效率及市场反应速度等有重要影响。以生产批量、热区分段长度为优化目标,考虑了多种约束条件,提出了一套解决该问题的算法,并已运用于生产实际中,具有推广价值。  相似文献   

3.
具有VaR约束和无风险投资的证券组合选择方法   总被引:4,自引:0,他引:4  
本文提出了具有VaR约束和无风险投资的证券组合优化模型,在证券收益率服从正态分布的前提下,给出有效投资比例及有效边界的解析形式,它是传统的均值-方差模型及有效证券组合的推广。  相似文献   

4.
对于造船厂钢板堆场出库作业计划问题,在分析堆场出库作业流程的基础上,建立了以出库作业时间最短为目标的优化模型.该模型可归结为多层组合优化问题.针对本问题寻优过程的阶段性和复杂性的特点,提出了基于改进遗传算法的多层嵌套启发式优化算法.与传统人工决策的作业方案相比,该优化结果可以缩短24%~67%的作业时间.  相似文献   

5.
鲁棒优化方法是处理不确定环境下决策问题的有效技术,已在众多领域得到广泛应用.为降低现有鲁棒投资组合选择模型的鲁棒性成本,避免结果过于保守,本文提出了具有优良特性的相对鲁棒CVaR风险度量,探讨了其计算等问题.由其所导出的鲁棒投资组合选择模型的转化、简约与求解等问题,为求解实际的金融投资决策问题奠定了基础.  相似文献   

6.
组合秤仿真及优化研究   总被引:3,自引:1,他引:2  
刘乘  李彩娟  沈训乐 《包装工程》2011,32(3):53-56,59
阐述了组合秤的工作原理及基本结构,并基于LabVIEW对组合计算进行了仿真程序设计,从而得出了组合秤在不同的组合方式、组合模型和标准差下的合格率。对仿真结果进行了分析,得出了组合秤合格率与组合方式、组合模型及标准差有关。通过对组合秤的组合原理的优化,提高了组合秤的合格率。  相似文献   

7.
工业增加值的准确预测对于政府部制定工业发展政策有重要的作用。本文分别建立了四川省工业增加值的GMDH模型和GM(1,N)模型,并把两者结合起来建立基于GMDH—GM(1,N)的组合预测模型。将组合预测的结果与实际值以及单一的GMDH模型、GM(1,N)模型的结果进行了分析和比较,实证分析结果表明组合预测模型能够提高预测精度,从而为宏观经济预测提供了参考。  相似文献   

8.
考虑到方差、下半方差和绝对偏差等度量投资组合风险的局限性以及单阶段投资决策不符合投资者的实际投资行为等因素,本文将风险价值(Value-at-Risk,简称VaR)作为风险度量标准应用到多阶段投资组合优化中.由于中国股票市场不允许卖空,因此本文在不允许卖空的情况下,在约束条件中同时考虑了交易费用和投资比例,建立了一个均值--VaR多阶段投资组合优化模型.考虑到粒子群算法具有收敛速度快,结构简单以及需要调控的参数比较少等优点,运用带有罚函数处理机制的粒子群算法对新建立的多阶段投资组合优化模型进行求解.求解得到了不同路径下各阶段资产的最优投资策略,从运算结果可以看出,在不同的投资路径下投资者的投资行为基本一致,在第一阶段对自己看好的股票买入,经过第一阶段股市的波动,在第二阶段对自己看好的股票继续买入,对不看好的股票不买入或者直接卖出,这种投资行为符合投资者的实际投资行为,说明本文所提出的模型具有合理性.  相似文献   

9.
基于多元线性回归模型及GM(1,n)模型,给出了一种组合预测模型,进行了组合预测的精度分析及预测值的等级分类,并讨论了其在实际问题中的应用。  相似文献   

10.
投资组合选择研究为投资决策和风险管理提供了可量化的途径和科学决策的依据.本文引入了非凹非凸的典型交易成本函数,建立了含有交易成本函数的均值--方差--下半方差投资组合模型.考虑到不同的投资者对风险的厌恶程度不同,引入风险厌恶系数,把双目标的投资组合优化模型转化为单目标的投资组合优化模型,并运用教与学算法对模型进行了求解,得到不同收益下的最优投资组合,同时给出了投资组合的有效边界,最后对算法的优越性进行了分析,得到了比较好的仿真结果.  相似文献   

11.
Rule-based portfolio construction strategies are rising as investment demand grows, and smart beta strategies are becoming a trend among institutional investors. Smart beta strategies have high transparency, low management costs, and better long-term performance, but are at the risk of severe short-term declines due to a lack of Risk Control tools. Although there are some methods to use historical volatility for Risk Control, it is still difficult to adapt to the rapid switch of market styles. How to strengthen the Risk Control management of the portfolio while maintaining the original advantages of smart beta has become a new issue of concern in the industry. This paper demonstrates the scientific validity of using a probability prediction for position optimization through an optimization theory and proposes a novel natural gradient boosting (NGBoost)-based portfolio optimization method, which predicts stock prices and their probability distributions based on non-Bayesian methods and maximizes the Sharpe ratio expectation of position optimization. This paper validates the effectiveness and practicality of the model by using the Chinese stock market, and the experimental results show that the proposed method in this paper can reduce the volatility by 0.08 and increase the expected portfolio cumulative return (reaching a maximum of 67.1%) compared with the mainstream methods in the industry.  相似文献   

12.
In this paper a portfolio optimization problem with bounded parameters is proposed taking into consideration the minimax risk measure, in which liquidity of the stocks is allied with selection of the portfolio. Interval uncertainty of the model is dealt with through a fusion between interval and random variable. As a result of this, the interval inequalities are converted to chance constraints. A solution methodology is developed using this concept to obtain an efficient portfolio. The theoretical developments are illustrated on a large data set taken from National Stock Exchange, India.  相似文献   

13.
We survey the Mean-Absolute Deviation (MAD) portfolio optimization model, which was first introduced in 1990 to cope with very large-scale portfolio optimization problems. The MAD model is in fact used to solve huge portfolio optimization models including the internationally diversified investment model, the long-term asset liability management (ALM) model and the mortgage-backed security portfolio optimization model. It was recently shown that the MAD model possess several advantageous theoretical properties. In particular, all capital asset pricing model (CAPM)-type relations for the mean-variance model also hold for the MAD model. Furthermore, the MAD model is more compatible with the fundamental principle of rational decision-making.  相似文献   

14.
李奇  苗瑞  张洁  江志斌  付圆 《工业工程》2019,22(4):101-108
电动汽车租赁行业迅速发展。为满足消费者和企业的综合需求,研究了面向电动汽车租赁的多目标服务组合优化设计方法。借助模糊理论确定各服务项权重,引入失望理论描述顾客的欣喜与失望感知以计算感知绩效,建立方案成本、相容度、市场竞争指数的计算方法,最终提出顾客感知绩效最大、成本最低、方案相容最优、市场竞争力最大的电动汽车租赁多目标服务组合优化设计模型。通过一种面向多阶段的多目标权重确定法对不同阶段的多目标决策设定权重。最后,通过实际项目案例对模型进行有效性验证,针对推广市场的不同阶段分别制定服务组合套餐,目标优化结果显著,为电动汽车租赁企业在服务设计方面提供了科学有效的决策方法。  相似文献   

15.
在回顾了项目组合管理研究之后,将种群生态学理论引入项目组合风险管理.讨论了项目组合的已有研究,重新给出了项目组合的定义,并将其分为三种类型,揭示了项目组合与生物种群间的相似属性.构建了竞争型项目组合风险管理(CPPRM)决策模型,讨论了n=2时模型的解,分析了其稳定性条件及风险应对策略,并以n=3时的讨论论证了CPPRM决策模型的实际可操作性.  相似文献   

16.
We examine the robust mean-VaR portfolio optimization problem when a parametric approach is used for estimating VaR. A robust optimization formulation is used to accommodate estimation risk, and we obtain an analytic solution when there is a risk-free asset and short-selling is allowed. This renders the model computationally tractable. Further, to avoid the conservatism of robust optimal portfolios, we suggest an adjusted robust optimization approach. Empirically, we evaluate the out-of-sample performance of the new approach, the robustness of obtained solutions and level of conservatism of the resulting portfolios. The empirical results highlight some benefits of our approach.  相似文献   

17.
Diversification of R&D projects not only can reduce overall risk, but also can create value-enhancement effect. A useful guideline for optimal diversification of R&D projects is important to R&D organizations. This paper extends financial portfolio analyses for R&D management particularly incorporating the technology risk. This study uses a survival model to describe the technology risk since termination of an R&D project can be caused by any technology risk factors. A formula of optimal R&D resource allocation that can dynamically achieve the greatest diversification effect is offered. Furthermore we provide an alternative method for estimating correlations between R&D portfolios, which has a critical influence on diversification effect. The method can be useful in risk assessment when measure the exposure of R&D portfolio to particular sources of uncertainty. The evaluation framework for R&D portfolios optimization also can be applied in project-selection decisions.  相似文献   

18.
As measures of portfolio risk, Lower Partial Moments (LPMs) have several advantages over variance, the traditional measure of risk. A separation theorem can be proven in the context of mean-LPM portfolio optimization, when the target is equal to the risk-free interest rate. The question of which other targets admit separation has remained open, however. We attempt to answer this question and clear up some confusion in the literature caused by previous attempts. We distinguish between a fixed and a moving target, that is, a target that depends on the (distribution of the) random return whose risk measure is being evaluated. We show that the risk-free interest rate is the only fixed target that guarantees linear separation. Among moving targets, we show that linear separation holds if the target is set equal to the mean return of the portfolio under consideration.  相似文献   

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