随机利率下的PPP项目实物期权评价研究

PPP项目通常实施周期长,风险突出。传统的实物期权评价方法考虑了未来的不确定性和管理者柔性的价值,但是一般假设无风险利率是固定的,不符合利率长期内波动的特点,会造成投资者决策失误。本文考虑了未来无风险利率波动条件下,PPP项目中实物期权的价值。首先分析了PPP项目中通常存在的期权形式,其次研究了无风险利率三角逆变函数以及在此基础上得出模拟实物期权模型,并用案例对比分析固定利率和随机利率下的期权价值。结果显示,随机利率比固定利率下的期权价值更高,研究结论可以为PPP项目的投资者进行决策提供重要依据。     

Stochastic Optimization of Insurance Portfolios for Managing Exposure to Catastrophic Risks

A catastrophe may affect different locations and produce losses that are rare and highly correlated in space and time. It may ruin many insurers if their risk exposures are not properly diversified among locations. The multidimentional distribution of claims from different locations depends on decision variables such as the insurer's coverage at different locations, on spatial and temporal characteristics of possible catastrophes and the vulnerability of insured values. As this distribution is analytically intractable, the most promising approach for managing the exposure of insurance portfolios to catastrophic risks requires geographically explicit simulations of catastrophes. The straightforward use of so-called catastrophe modeling runs quickly into an extremely large number of what-if evaluations. The aim of this paper is to develop an approach that integrates catastrophe modeling with stochastic optimization techniques to support decision making on coverages of losses, profits, stability, and survival of insurers. We establish connections between ruin probability and the maximization of concave risk functions and we outline numerical experiments.     

Some Aspects of Managing O.R. Projects

This paper presents views based on experiences as team member, project leader and Director of a large O.R. group, followed by observing the performance of several O.R. groups and finally as a user of O.R. in the position of part-time director of several companies. It looks at the importance of sponsorship, finding the right sponsor and ensuring that he is well-motivated and understood, the importance of management skills at the project leader level, correct definition of the project objective, thorough planning, selection and presentation of recommendations, implementation and checking the actual pay off. It also discusses the O.R. group as a whole, its place in the organisation, the portfolio of projects, development of O.R. staff and some thoughts on how the method of charging the organisation for O.R. projects may affect the long-term development of this activity. Finally, it presents symptoms of inefficiency and of impending failure of O.R. groups.     

处理网络计划的不确定性的一种进度模型

在应用网络计划技术进行工程项目管理中,常常需要对工程项目中潜在的不确定性进行处理,而传统的网络计划技术中,缺乏对工程项目中潜在的不确定性的处理。章通过建立评估不确定性的影响因子区间的模型与方法,提出了在工程项目的进度管理中动态地对潜在的不确定性进行处理的有效方法。     

Optimal Financial Portfolios

The classes of reward‐risk optimization problems that arise from different choices of reward and risk measures are considered. In certain examples the generic problem reduces to linear or quadratic programming problems. An algorithm based on a sequence of convex feasibility problems is given for the general quasi‐concave ratio problem. Reward‐risk ratios that are appropriate in particular for non‐normal assets return distributions and are not quasi‐concave are also considered.     

Impulsive Control of Portfolios

In this paper a general model of a market with asset prices and economical factors of Markovian structure is considered. The problem is to find optimal portfolio strategies maximizing a discounted infinite horizon reward functional consisting of an integral term measuring the quality of the portfolio at each moment and a discrete term measuring the reward from consumption. There are general transaction costs which, in particular, cover fixed plus proportional costs. It is shown, under general conditions, that there exists an optimal impulse strategy and the value function is a solution to the Bellman equation which corresponds to suitable quasi-variational inequalities.     

Stability of Differential-Algebraic Equations under Uncertainty

We consider a linear time-invariant homogeneous system of first-order ordinary differential equations with a noninvertible matrix multiplying the derivative of the unknown vector function and with perturbed coefficients. We introduce a class of perturbations of the coefficient matrices of the system and determine conditions on the perturbations of this class under which they do not affect the internal structure of the system. We obtain sufficient conditions for the robust stability of the system under such perturbations.     

Uncertainty Modelling in Software Development Projects (With Case Study)

A project scheduling model tailored specifically for software development projects is proposed in this study. The model incorporates uncertainties related to activity durations and network topology. The first type of uncertainty exists due to error-prone coding which might result in elongated task durations caused by validation and debugging sessions. Furthermore, in practice, macro-activities represent groups of sub-tasks in order to simplify the planning and monitoring of the project. Due to the aggregation, it is more difficult to be precise on the duration of a macro-activity.The uncertainty related to the network topology is due to common database design issues or program modules shared among parallel tasks in the project network. These tasks become associated with each other through uncertain Start-to-Start (SS) precedence relationships. On the other hand, SS lags may also be the outcome of technological precedence relationships among pairs of activities. However, the imprecision underlying the work content of a predecessor activity leads to uncertain SS lags.Software development projects are human-intensive projects and hence, the duration of a task depends on the skill of the person assigned to the job as well as his/her learning rate. Thus, a task may be realized by alternative staff members which results in different expected task durations. Hence, a realistic model proposed for software development projects should incorporate staff assignment features under the uncertainties discussed above. In this study, we develop a mathematical model for software development projects and propose heuristic solution methods to be used by the project co-ordinator in preparing the project plan. The heuristic algorithms developed here are tested on real data provided by a consulting firm undertaking software development projects from manufacturing companies in Turkey.     

奈特不确定条件下企业有成本可逆投资策略研究

风险是企业投资决策关键影响因素之一,采纳奈特不确定性来刻画风险,并在此基础上构建了模糊规避偏好和投资有成本可逆条件下企业投资决策模型.模型结果表明企业最优投资策略为双阈值策略:企业增加投资以避免资本边际收益大于上限阈值,削减资本存量以避免资本边际收益低于下限阈值,当资本边际收益处于上下限阈值之间时,企业既不增加投资也不削减资本.比较静态分析显示奈特不确定性增加会降低最优投资策略上下限阈值范围.     

考虑不确定因素影响的沉淀池优化设计

沉淀池是污水处理流程中一个必不可少的重要环节,设计中存在着大量的不确定因素.本文在沉淀池设计中引入了不确定性模糊非线性规划模型.该模型利用处理效率与沉淀池尺寸之间的非线性关系,求解过程引入区间数和模糊算子,尝试在沉淀池设计中考虑不确定性因素,并取得满意的结果.     

不确定条件下企业的投资规模决策

在未来不确定的情况下,以最大化投资机会的价值为出发点,用随机过程和实物期权的方法求出投资最优时机和最优的投资规模的函数表达式,并用数值解分析了其变化特征.     

The Multi-Handler Knapsack Problem under Uncertainty

The Multi-Handler Knapsack Problem under Uncertainty is a new stochastic knapsack problem where, given a set of items, characterized by volume and random profit, and a set of potential handlers, we want to find a subset of items which maximizes the expected total profit. The item profit is given by the sum of a deterministic profit plus a stochastic profit due to the random handling costs of the handlers. On the contrary of other stochastic problems in the literature, the probability distribution of the stochastic profit is unknown. By using the asymptotic theory of extreme values, a deterministic approximation for the stochastic problem is derived. The accuracy of such a deterministic approximation is tested against the two-stage with fixed recourse formulation of the problem. Very promising results are obtained on a large set of instances in negligible computing time.     

不确定理论下期权的保险精算定价

在标的资产价格服从推广的几何刘过程的假设下,利用保险精算方法对欧式期权进行了定价,所得结果满足看涨看跌期权价格之间的平价关系,推广了以前的结果.文章考虑到了市场的不完备性及样本缺少的问题,保险精算和不确定理论弥补了这些不足,可广泛的应用于金融市场的期权定价.     

随机环境下技术开发和授权的最优策略

技术创新的价值实现需要后续的商业化投资,在随机不确定的市场环境下,创新企业面对着投资或等待、自身开发或技术授权的策略选择.利用实物期权方法建立了市场不确定时的决策模型,分析开发能力、不确定性等多种因素对企业授权的影响,在多种情况下得到企业的最优决策并对相关现象给出了解释.研究发现不确定性提高了企业投资的临界值,提高了企业的技术授权价格,高度的不确定性减少了技术授权的可能,较高的能力差异会促进技术交易.     

Log-Optimal Portfolios with Memory Effect

ABSTRACT

In portfolio optimization a classical problem is to trade with assets so as to maximize some kind of utility of the investor. In our paper this problem is investigated for assets whose prices depend on their past values in a non-Markovian way. Such models incorporate several features of real price processes better than Markov processes do. Our utility function is the widespread logarithmic utility, the formulation of the model is discrete in time. Despite the problem being a well-known one, there are few results where memory is treated systematically in a parametric model. Our algorithm is optimal and this optimality is guaranteed for a rich class of model specifications. Moreover, the algorithm runs online, i.e., the optimal investment is achieved in a day-by-day manner, using simple numerical integration, without Monte-Carlo simulations. Theoretical results are demonstrated by numerical experiments as well.