A mixed R&D projects and securities portfolio selection model

doi:10.1016/j.ejor.2007.01.002

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	A mixed R&D projects and securities portfolio selection model
	Fang, Yong; Chen, Lihua ; Fukushima, Masao
	2008-03-01
发表期刊	EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
ISSN	0377-2217
卷号	185 期号:2 页码:700-715
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.
关键词	portfolio selection R&D project portfolio selection semi-absolute deviation risk function mixed-integer stochastic programming problem
DOI	10.1016/j.ejor.2007.01.002
语种	英语
WOS研究方向	Business & Economics ; Operations Research & Management Science
WOS类目	Management ; Operations Research & Management Science
WOS记录号	WOS:000250732600016
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/6461
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.