基于活跃专家意见的在线投资组合策略

综合考虑专家意见是投资者常用的投资决策方法。通过集成活跃专家意见, 提出了一个新的在线投资组合策略。首先将所有定常再调整策略看作专家, 并通过淘汰近期表现最差的专家构造活跃专家集合; 然后利用弱集成算法集成所有活跃专家的意见, 进而构造弱集成活跃专家策略。采用实际的股票数据对提出的策略进行数值分析, 结果表明该策略具有更好的竞争性能。     

考虑绿色证书交易的寡头电力市场均衡分析

可再生能源配额和可交易绿色证书制度作为一种基于市场机制的新能源扶持政策,得到越来越多的关注。该政策的引入会对电力批发市场的竞争产生重要影响,特别是绿色证书交易市场与电力批发交易市场之间存在复杂的相互影响关系。为了定量研究该影响关系,采用寡头竞争均衡理论,建立了一个考虑绿色证书交易市场和电力批发交易市场的两阶段联合均衡模型。在第1阶段,可再生能源发电商以供应函数模式参与证书市场竞争;在第2阶段,所有发电商以古诺模式参与批发市场竞争。该模型描述的均衡问题可以表示为一个具有均衡约束的均衡问题,可采用非线性互补方法来求解。最后,算例仿真重点研究不同配额要求下发电商在两个市场中的策略性行为及相互影响关系,表明在不同的配额要求下,可再生能源发电商会选择在不同市场中行使市场力,并导致电力批发市场价格与绿色证书市场价格上升。     

Identifying,framing and managing uncertainties in project portfolios

Uncertainties in the organization, external environment and from single projects may hamper project portfolio performance unless managed properly. This paper introduces a framework on uncertainties and their management in project portfolios and pursues increased understanding on how managers can take uncertainty into account better. We explore uncertainties, how managers frame them as opportunities or threats, and the actual practice of managing them across ten R&D project portfolios. The framework on project portfolio uncertainties and their management is further refined based on the empirical results. As key contributions, we show evidence on the balanced existence of three types of uncertainties, the threat bias in their framing, and the dominance of rational, opportunity driven mechanisms of control in uncertainty management. We discuss the context-dependent practice of project portfolio management and the need to complement rational mechanisms with structural and cultural, for project portfolio management to become a dynamic capability.     

Subcontracting in project-based firms: Do you follow the same pattern across your different projects?

This article analyzes an important dimension in which the organization of the projects performed by the same firm can differ: the insourcing or outsourcing of an activity that needs to be undertaken in each of the different projects. Analyzing the variability of a firm's insourcing or outsourcing decision across its projects gives us a better understanding of the firm's decision-making process in terms of the stability of its choices across projects and the main determinants of that variability. This analysis is valuable because a firm that manages multiple projects can benefit from the careful analysis and consideration of the interactions among and the specificities of its projects. Using a comprehensive database of construction firms and projects, we conclude that firms demonstrate variability in their insource or outsource choices across projects and that this variability is explained by factors such as the number of projects simultaneously undertaken, the variability in a project's complexity, and their market power in local markets. These results suggest that the theories explaining firm boundaries in project-based firms should be expanded to include interrelationships between projects and the individual project characteristics that drive differences in insource or outsource choices.     

Project Portfolio Ranking based on the Strategic Contribution Efficiency

Project portfolio management is proved to be remarkable for an enterprise to attain competences. When selecting project portfolios,enterprises are willing to know which one has the largest return on investment rate when realizing enterprise strategy. A methodology for project portfolio ranking by adopting the concept of Strategic Contribution Efficiency（ SCE） is proposed. SCE acts as the measure that demonstrates what degree a project portfolio would contribute to enterprise strategy at specific cost. Evaluation criteria are established according to the practical requirements of enterprises. Data Envelope Analysis（ DEA） is combined with fuzzy set to calculate SCE and the ranking,which takes project portfolio as a whole rather than evaluates individual projects separately and considers information imprecision at the same time. At last,a numerical example is illustrated the specific process of project portfolio ranking based on SCE,from the portfolio generation to analysis,and the efficiency of proposed model is verified.     

高成熟探区圈闭经济评价系统及其应用

摘要：为了提高高城熟探区圈闭经济评价的水平,服务于油田的勘探决策,建立了高成熟探区圈闭经济评价系统。系统主要功能有：①根据建立典型油气圈闭参数数据库,应用人工神经网络方法进行非线性“类比”,确定圈闭的油藏类型、勘探开发和生产模式,模拟油气藏勘探开发全过程,开展圈闭定量经济评价,克服了传统评价方法的缺陷;②采用蒙特卡罗仿真估算,开展圈闭经济评价敏感因素和不确定性分析,实现圈闭勘探风险的量化研究;③应用最优化线性理论,完成圈闭勘探投资效益与勘探风险的优化分析,解决了过去圈闭经济评价中缺少风险分析和投资组合一体化评价的问题。该系统已经在胜利油田应用,胜利油田年钻预探井30余口,成功率在40%以上,效果良好。     

市场指数模型下最优证券组合的简化算法

研究市场指数模型下最优证券组合的简化算法,扩展了针对预期超额收益—贝塔比率最大化提出的简化算法,并将其应用于确定最小风险证券组合构成、考虑风险容忍度的最优证券组合构成、允许和不允许限制性卖空情况下有效证券组合构成及其变动。     

基于效用函数的火电厂投资风险决策

结合一般项目投资风险分析的方法,针对电力工业自身的特点,给出了火电厂投资风险决策的整体框架.对现有的火电厂投资风险决策模型在2方面进行了改进:一是对决策变量的精简,使之更具实用性;二是引入投资组合理论和期望效用理论,使决策过程更加理性化.在收益风险评估阶段,采用蒙特卡罗模拟进行分析;在风险决策阶段,结合投资者风险偏好,综合考虑期望收益和风险,对所有方案进行评价、选择.文中算例能够在较短时间内准确、可靠地求得最优解,并用灵敏度分析表明了投资者的风险态度等因素对决策方案的影响.用该模型和算法还可以对决策者感兴趣的个别方案进行单独的分析评价.     

基于组合保险技术的养老保险基金投资策略分析

在现行多层次部分积累的养老保险制度下,入市投资是实现新制度形成的养老保险基金保值增值的一种选择.针对目前我国证券市场的特点,根据安全性、盈利性和流动性的原则,采用先进的投资组合保险技术,研究养老保险基金的投资,提出了基于养老保险基金的价值增长型组合保险策略.     

基于WCVaR风险度量的发电商电量分配模型

电力市场中,发电商需要合理分配发电量以追求总利润最大、风险最小。以最坏情况风险价值(WC-VaR)作为风险度量因子,建立了发电商在保证一定的期望收益率下WCVaR风险值最小的发电量分配模型,并对其在实时平衡市场、日前市场和中、远期合约市场的发电量分配比例及有效前沿进行了仿真测验。结果表明,所提出的电量分配模型能较真实地反映发电商所面临的市场风险的本质特性,表明了理论分析的正确性和模型的有效性,从而为发电商的投标决策和风险评估提供了新思路。