A mixed R&D projects and securities portfolio selection model
文献类型：期刊论文
| 作者 | Fang, Yong ; Chen, Lihua; Fukushima, Masao
|
| 刊名 | EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
 |
| 出版日期 | 2008-03-01 |
| 卷号 | 185期号:2页码:700-715 |
| 关键词 | portfolio selection R&D project portfolio selection semi-absolute deviation risk function mixed-integer stochastic programming problem |
| ISSN号 | 0377-2217 |
| DOI | 10.1016/j.ejor.2007.01.002 |
| 英文摘要 | The business environment is full of uncertainty. Allocating the wealth among various asset classes may lower the risk of overall portfolio and increase the potential for more benefit over the long term. In this paper, we propose a mixed single-stage R&D projects and multi-stage securities portfolio selection model. Specifically, we present a bi-objective mixed-integer stochastic programming model. Moreover, we use semi-absolute deviation risk functions to measure the risk of mixed asset portfolio. Based on the idea of moments approximation method via linear programming, we propose a scenario generation approach for the mixed single-stage R&D projects and multi-stage securities portfolio selection problem. The bi-objective mixed-integer stochastic programming problem can be solved by transforming it into a single objective mixed-integer stochastic programming problem. A numerical example is given to illustrate the behavior of the proposed mixed single stage R&D projects and multi-stage securities portfolio selection model. (C) 2007 Elsevier B.V. All rights reserved. |
| WOS研究方向 | Business & Economics ; Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000250732600016 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/6460]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Fukushima, Masao |
| 作者单位 | 1.Peking Univ, Guanghua Sch Management, Dept Management Sci & Management Informat Syst, Beijing 100871, Peoples R China 2.Kyoto Univ, Grad Sch Informat, Dept Appl Math & Phys, Kyoto 6068501, Japan 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Fang, Yong,Chen, Lihua,Fukushima, Masao. A mixed R&D projects and securities portfolio selection model[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,2008,185(2):700-715. |
| APA | Fang, Yong,Chen, Lihua,&Fukushima, Masao.(2008).A mixed R&D projects and securities portfolio selection model.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,185(2),700-715. |
| MLA | Fang, Yong,et al."A mixed R&D projects and securities portfolio selection model".EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 185.2(2008):700-715. |
入库方式： OAI收割
来源：数学与系统科学研究院
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