摘要
随着项目管理进入"大尺度"时代,项目间交互关系成为项目组合风险测度及选择决策研究的重要基础。基于Artzner风险定义,本文提出了以超预期收益率为随机变量的项目组合一致性风险测度策略,构建以交互关系分类为基础的多因子模型,借以度量项目间风险交互效应,并讨论一致性风险测度框架下项目组合风险和单项目风险的定量关系。在此基础上,提出了以收益最大化和风险最小化为目标的项目组合选择决策模型及其求解算法。
As project management enters into the large scale era, project interactions prove to be an important basis of risk measurement and selection decision making of project portfolio. According to the risk definition given by Artzner, the coherent risk measurement of project portfolio by taking expected extra returns as the random variable is put forward and a multi factor model is constructed based on the interactive relationship classification to measure risk interaction effect between projects and discuss the quantitative relationship of portfolio risk and single project risk. On this basis, a selection decision making model of project portfolio with the goal of maximum profit and minimum risk is generated and solved.
出处
《预测》
CSSCI
北大核心
2014年第5期59-64,共6页
Forecasting
基金
国家自然科学基金资助项目(71272049)
高等学校博士学科点专项科研基金资助项目(20126102110052)
西北工业大学研究生创业种子基金资助项目(Z2013168)
关键词
项目组合
交互效应
一致性风险测度
选择决策
project portfolio
interaction
coherent risk measurement
selection decision-making
