基于交互效应的项目组合风险度量及选择优化

摘要/Abstract

摘要： 研究了具有不对称交互效应的项目组合风险测度和选择问题。从资源、收益和技术三方面描述了项目组合交互效应的产生,提出了基于生态位和生态位重叠理论的具有交互效应的项目组合风险度量方法,建立了以收益最大化和风险最小化的组合选择优化模型,并针对该模型给出了一种实用的混合遗传算法和应用实例。研究表明交互效应对组合风险度量和项目选择具有显著影响,这也为项目组合研究提供了新的视角和思路。

关键词: 项目组合, 交互效应, 生态位重叠, 混合遗传算法, 风险度量

Abstract: The risk measurement and selection optimization of project portfolio is studied based on the asymmetric interaction effects. The project portfolio interaction effects is described from three aspects of resource, outcome and technology, an risk measurement method for project portfolio with risk interaction effects is put forward based on the niche theory and the niche overlap theory and then the selecting optimization model for profit maximum and risk minimization of the project portfolio is established. According to the model, the method is designed and an example is given. The result shows that interaction effects have significant effects on portfolio risk measurement and project selection, which also provide a new perspective and ideas for the research into project portfolio.

Key words: project portfolio, interaction effect, niche overlap, genetic algorithm, risk measurement

中图分类号:

F272.3

赵静, 郭鹏, 潘女兆. 基于交互效应的项目组合风险度量及选择优化[J]. 运筹与管理, 2011, 20(6): 120-126.

ZHAO Jing, GUO Peng, PAN Nv-zhao. Risk Measurement and Selection Optimization of Project Portfolio Based on the Interaction Effect[J]. Operations Research and Management Science, 2011, 20(6): 120-126.

参考文献

[1] 程铁信,霍吉栋,刘源张.项目管理发展评述[J].管理评论,2004,16(2):59-62.
[2] Archer N P, Ghasemzadeh F. An integrated framework for project portfolio selection[J]. International Journal Project Management, 1999, 17(4): 207-216.
[3] Platje A, Seidel H, Wadman S. Project and portfolio planning cycle-project based management for multi-project challenge[J]. International Journal Project Management, 1994, 12(2): 100-106.
[4] Robert A S.投资组合管理 [M].黄卉等译.第三版.北京:清华大学出版社,2005.
[5] Konno H, Yamazaki H. Mean-absolute deviation portfolio optimization model and its application to tokyo stock market[J]. Management Science, 1991, 37(5): 519-531.
[6] Shalit H, Yitzhaki S. Evaluating the mean-gini approach to portfolio selection[J]. The International Journal of Finance, 1989,1(2): 15-31.
[7] 杜先进,孙树栋,欧立雄.不确定条件下R&D项目组合风险测度及选择优化[J].预测,2007,26(2):68-71.
[8] 陈业华,邱菀华.R&D投资决策可靠性的熵(法)评价[J].科研管理,1999,20(6):71-7.
[9] 徐玖平.长期投资决策的风险度及其应用[J].系统工程理论与实践,1999,19(2):96-102.
[10] 焦媛媛,韩文秀,杜军.组合投资项目的风险度分析及择优方法[J].系统工程理论与实践,2002,20(7):30-34.
[11] Baker N, Freeland J. Recent advances in R&D benefit measurement and project selection methods[J]. Management Science, 1975, 21: 1164-1175.
[12] Harel E, Boaz G, Avraham S. Constructing and evaluating balanced portfolios of R&D projects with interactions: a DEA based methodology[J]. European Journal of Operational Research, 2006, 172: 1018-1039.
[13] Goldstein P M S, Howard M. A note on economic models for R&D project selection in the presence of project interactions [J]. Management Science, 1986, 32(10): 1356-1360.
[14] Kuchta D. A fuzzy model for R&D project selection with benefit, outcome and resource interactions[J]. Engineering Economist, 2001, 46(3): 164-175.
[15] Chiesa V. R&D strategy & organization-managing technical change in dynamic contexts[A]. Series on technology management(Vol.5)[C]. London: Imperial College Press, 2001.
[16] Aaker D A, Tyebjee T T. A model for the selection for interdependent R&D projects[J]. IEEE Trans. Eng. Manage, 1978, 25(1): 30-36.
[17] Schmidt R I. A model for R&D project selection with combined benefit, outcome and resource interactions[J]. IEEE Transaction Engineering Management, 1993, 40(4): 403-410.
[18] Christian S, Kurt H. Interactive R&D portfolio analysis with project interdependencies and time profiles of multiple objectives[J]. IEEE Transaction Engineering Management, 2003, 50(2): 175-181.
[19] 刘亚旭,汪应洛.具有不对称风险交互效应的R&D项目组合选择方法[J].系统工程,2007,25(2):18-21.
[20] 崔海波,赵希男,张利兵.一种证券投资风险度量方法的应用研究[J].系统工程,2004,22(3):88-91.
[21] Gear T E, Cowie G C. A note on modeling project interdependence in research and development[J]. Decision Science, 1980, 11: 738-748.
[22] Radhika S, George J K. A decision model for interdependent information system project selection[J]. European Journal of Operational Research, 1996, 89: 380-399.
[23] Devesh V, Kingshuk K. Toward a theory of project interdependencies in high tech R&D environments[J]. Journal of Operations Management, 2002, (20): 451-468.
[24] Dos Santos B L. Selecting information systems projects: problems, solutions and challenges[C]. Proceedings of the Twenty-Second Annual Hawaii International Conference on Systems Sciences, IEEE Computer Society, 1989, 3: 131-140.
[25] 郭鹏,潘女兆,赵静.基于项目交互效应的高新技术项目组合风险研究[J].科学学与科学技术管理,2009,6:5-9.
[26] Jordan C F. Do ecosystems exist[M]. American Naturalist, 1981.
[27] Hutchinson G E. Population studies: animal ecology and demography[J]. Cold Spring Harbor Symposium of Quantitative Biology, 1957, 22: 415-427.
[28] Abrams P A. Some comments on measuring niche overlap[J]. Ecology, 1980, 61: 44-49.
[29] Hurlbert S H. The measurement of niche overlap and some relatives[J]. Ecology, 1978, 59: 67-77.
[30] 王刚.植物群落中生态位重叠的计测[J].植物生态学与地植物学丛刊,1984,8(4):329-335.
[31] Pielou E C. Niche width and overlap: a method for measuring them[J]. Ecology, 1971, 53 (4): 687-692.
[32] Mackenzie A.生态学[M].北京: 科学出版社,1999.
[33] Pianka E R. The structure of lizard communities[J]. Annuals Review of Ecology and Systematics, 1973, 4: 53-74.
[34] Cody M L. Competition and structure of bird communities[M]. Princeton: Princeton University Press, 1974.
[35] Abraham A, Jain L, Goldberg R. Evolutionary multi-objective optimization: theoretical advances and applications[M]. London, UK: Springer-Verlag, 2005.
[36] Xu L, Tu C Y. A new improved genetic algorithm and Its property analysis[J]. Acta Electronica Sinica, 2001. 902-904.
[37] Srinivas M, Patnaik L M. Adaptive probabilities of crossover and mutation in gas[J]. IEEE Transaction on System, Man, and Cybemetics, 1994, 24(4): 656-667.
[38] 玄光男,程润伟.遗传算法与工程优化[M].北京: 清华大学出版社,2004.