保险公司实业项目投资策略研究

考虑保险公司实业项目投资问题. 假定1)保险公司可以选择在某一时刻投资一实业项目(Real investment), 该项投资可以为保险公司带来稳定的资金收入而不影响其风险;2)保险公司可以将盈余资金投资于证券市场, 该市场包含一风险资产.目标是通过最小化破产概率来确定保险公司实业项目投资时间和风险资产的投资金额.运用混合随机控制-最优停时方法,得到值函数的半显式解, 进而得到保险公司的最佳投资策略: 以固定金额投资证券市场; 当保险公司盈余高于一定额度(称为投资门槛)时进行项目投资, 并降低风险资产投资金额.最后采用数值算例分析了不同市场环境下投资门槛与投资金额, 投资收益率之间的关系. 结果表明:1)项目投资所需金额越少、收益率越高, 则项目投资的门槛越低;2)市场环境较好时(牛市)项目的投资门槛提高, 保险公司应较多的投资于证券市场; 反之, 当市场环境较差时(熊市)投资门槛降低,保险公司倾向于实业项目投资.     

基于混合支持向量机的国防R&D项目中止决策方法

由于RD活动的高风险性,对国防RD项目开展中止决策研究具有重要的理论和现实意义.将传统RD项目中止决策的解决途径分为两类:分类型和回归型.在分析这两种解决途径存在不足的情况下,考虑到国防RD项目自身的特点,提出一种基于混合支持向量机(support vector machine,SVM)的项目中止决策方法;同时,针对模型的建立问题,提出采用交叉验证的方法,通过粒子群优化(particle swarm optimization,PSO)算法实现模型的优化选择.通过建立混合决策模型,可以得出项目中止决策的明确结论.应用分析表明,该方法能够同时实现对项目的分类和排序,较常用方法利用信息更为全面,得出结论更为细致,对实践中的项目中止决策具有较好的适应性.     

含不动产项目的保险公司再保险-投资策略

站在保险公司管理者的角度, 考虑存在不动产项目投资机会时保险公司的再保险--投资策略问题. 假定保险公司可以投资于不动产项目、风险证券和无风险证券, 并通过比例再保险控制风险, 目标是最小化保险公司破产概率并求得相应最佳策略, 包括: 不动产项目投资时机、 再保险比例以及投资于风险证券的金额. 运用混合随机控制-最优停时方法, 得到最优值函数及最佳策略的显式解. 结果表明, 当且仅当其盈余资金多于某一水平(称为投资阈值)时保险公司投资于不动产项目. 进一步的数值算例分析表明: (a)~不动产项目投资的阈值主要受项目收益率影响而与投资金额无明显关系, 收益率越高则投资阈值越低; (b)~市场环境较好(牛市)时项目的投资阈值降低; 反之, 当市场环境较差(熊市)时投资阈值提高.     

数量化预测计算的一种方法及其在林业中的应用

本文在数量化理论(Ⅰ)和等级系数法的基础上,提出 m 个项目转换成一个单因子(w)与基变量(y)建立回归预报模型的方法;用等级系数的范围来衡量各项目对基变量的贡献大小.经实际应用,本文提出的方法所得结果与数量化理论(Ⅰ)和等级系数法的结果基本上一致.从计算精度和实用角度看,所提方法具有较强的实用价值.     

基于总承包商的水电工程EPC项目利益相关方协调度测评研究

在水电工程EPC项目大规模发展的背景下提出提高总承包商协调管理能力的问题,识别水利水电工程EPC项目管理协调度的影响因素,构建协调度评价指标体系并基于欧氏距离构建协调度模型,通过四川JL水电站建设项目研究总承包商与各利益相关方之间的协调发展度.结果表明,总承包商与上游相关方(业主、咨询单位、监理单位)为优质协调;与项目实施主体(设计方、供应商、分包方)为较好协调;与政治相关方(政府、当地居民)的协调程度最差,与政府为一般协调,与当地居民为轻度失调.据此,从总承包商的视角提出同各利益相关方的协调发展策略,能更好地促进总承包商协调管理能力的提升以及提高水利水电EPC工程项目的完成质量.     

一类投资价值为变量的研究与开发项目的Nash解问题

本文考虑一类完全信息下研究与开发 (R& D)项目中的纯策略问题 .设有一个 R& D项目 ,两位风险中性的投资人竞争 .项目需要的投资量至少是 I,投资较多的一方取胜 .项目成功后的价值是确定的 ,但是其价值大小对这两位投资人不一样 (品牌知名度 ,管理水平 ,营销能力等方面的差异导致的价格和销量不同 ) ,我们使用博弈论方法对此进行研究 ,得到的结果显示 :如果他们所实现的项目价值是常量 ,则不存在均衡解 ;而当项目价值是一个关于投资总量的单增函数时 ,则在两位投资人的价值函数的差异较大时 ,存在一个同时还是社会占优的 Nash均衡解 ,在两位投资人的价值函数差异不太大时 ,不存在均衡解 ,此时的竞争会导致社会效益下降 .从而提示政府应当通过一定的方式 (如招投标法 ,审批法 )对投资活动予以控制 .     

基于最小二乘的非合作模式下投标报价的研究

通过带有约束条件的最小二乘优化模型研究企业在非合作模式下、动态下浮比例时相邻两批每包货物投标报价问题,提出了每类货物平均价及每包最优报价的概念.将其应用于国家电网电容器项目招标.结果表明:模型提高了中标率,而且具有很强的稳健性.最后就基准价B=A_l×1(-a)计算公式提出了改进建议.     

基于“三会”素养的数学“微项目式”作业设计

《义务教育数学课程标准(2022年版)》强调以学生发展为本,以核心素养为导向,提倡学生开展“项目式”研究,“双减”政策强调提高作业设计质量.笔者将“微项目式”学习融合到作业设计中,通过设计恰当的问题来呈现“三会”素养,本文介绍基于“三会”素养的数学“微项目式”作业设计路径:“观”(观察生活)、“提”(提出问题)、“析”(分析策略)、“探”(探究问题)、“解”(解答问题).     

非綫性微分方程的解的界、稳定性和誤差估計

<正> §1.問題的提出与解决問題的工具本文針对非綫性微分方程組dx/dt=A(t)x+φ(t,x),x(t_o)=x_o(1.1)的解z(t)=(x_1(t),…,x_n(t)),提出并回答了下列两个問題: 問題1.估計(1.1)的解x(t)的模‖x(t)‖的界,这里‖·‖代表n維空間中的任意一种模. 問題2.估計(1.1)的解x(t)与(1.1)的近似緝性方程組:     

挣值法的参数扩展与修正研究

传统挣值法基于确定性与稳定性的项目基准计划,仅考虑和集成了项目时间与项目成本两个参数(要素),忽略了货币的时间价值.针对这些不足,对其进行参数扩展和相关的修正:运用蒙特卡罗法制定具有不确定性的项目的基准计划,考虑和集成了项目范围与项目质量两个参数,将时间因素引入成本度量中.在此基础上,提出和定义了挣值法的有关指标,以期提高挣值法的集成度和准确度.     

Probability distribution fitting of schedule overruns in construction projects

The probability of schedule overruns for construction and engineering projects can be ascertained using a ‘best fit’ probability distribution from an empirical distribution. The statistical characteristics of schedule overruns occurring in 276 Australian construction and engineering projects were analysed. Skewness and kurtosis values revealed that schedule overruns are non-Gaussian. Theoretical probability distributions were then fitted to the schedule overrun data; including the Kolmogorov–Smirnov, Anderson–Darling and Chi-Squared non-parametric tests to determine the ‘Goodness of Fit’. A Four Parameter Burr probability function best described the behaviour of schedule overruns, provided the best overall distribution fit and was used to calculate the probability of a schedule overrun being experienced. The statistical characteristics of contract size and schedule overruns were also analysed, and the Wakeby (<AU$1?m and AU$11–50?m), Three Parameter Log-logistic (AU$1–A$10?m) and Beta (AU$51–A$100?m and >AU$101?m) models provided the best distribution fits and were used to calculate schedule overrun probabilities by contract size.     

Random effects logistic regression model for ranking efficiency in data envelopment analysis

Ranking efficiency based on data envelopment analysis (DEA) results can be used for grouping decision-making units (DMUs). The resulting group membership can be partly related to the environmental characteristics of DMU, which are not used either as input or output. Utilizing the expert knowledge on super efficiency DEA results, we propose a multinomial Dirichlet regression model, which can be used for the purpose of selection of new projects. A case study is presented in the context of ranking analysis of new information technology commercialization projects. It is expected that our proposed approach can complement the DEA ranking results with environmental factors and at the same time it facilitates the prediction of efficiency of new DMUs with only given environmental characteristics.     

A representation model for the solving-time distribution of a set of design tasks in new product development (NPD)

Given the potential risks of new product development projects (NPD), the characteristics of the design tasks solving-time distributions are critical for their effective management. In OR we need to find what operational characteristics of design tasks may delay projects. Other researchers already identified the technological novelty, the magnitude of the design tasks, the interactions between design tasks in an NPD project, and the balancing between projects among the most important causes of the unpredictability of the design tasks lead times in NPD projects.     

工程项目投资方案评价方法的研究-基于广义λ-Shapley Choquet积分

随着社会的发展,工程项目投资方案选择所受的影响因素越来越多。方案的属性值呈现出不确定性、模糊性的特征。文章对工程项目投资方案的主要影响因素进行了系统全面的分析,构造出影响因素的指标体系(即属性集)。为应对不确定信息和降低决策者的决策难度,让决策者利用所构建的语言变量给出方案属性值的定性判断,然后利用所构建的语言变量和三角模糊数之间的对应关系,将其转化为相应的三角模糊数,从而得到相应的定量模糊判断。为得到最优的综合投资方案,同时考虑属性间的交互作用,文章利用非可加测度及广义λ-Shapley Choquet积分来计算投资方案的综合评价值,属性权重由广义Shapley函数确定。基于此,给出了工程项目投资方案选择的一个新评价方法。最后,通过一个实际案例分析来验证所给方法的可行性和有效性。     

The development of computer software for risk analysis: A decision support system development case study

Over the past eight years the Projects Department of BP's Group Engineering and Technical Centre has evolved a risk analysis methodology which is applied during the project appraisal phase to all major engineering construction projects. The computational methods in current use are based on the Common Interval and Memory (CIM) approach, which allows the direct enumeration of distribution combinations rather than the more common Monte Carlo simulation approach. Computer software has been developed in-house to apply these techniques. The programs are written in Fortran and are designed to be used interactively. This paper reviews the general framework of risk analysis applications on BP projects and the lessons learned in developing the first generation of computer software, used until 1985. Some of these lessons may be relevant to decision support system development by others. The development of a new generation of software, now implemented, is also discussed briefly.     

海外区域技术平台投资的时机选择模型及实证研究

基于后发企业海外区域技术平台(RTP)投资中“成熟技术产品推广”和“新技术产品开发”两个阶段,本文构建了两阶段实物期权模型。进一步,利用中国制造业对外直接投资(OFDI)的上市公司样本,考察了RTP投资时机选择的决定因素及影响效果。研究发现,第一阶段外生不确定性越低、第二阶段内生不确定性越高、新技术产品项目的增长期权越大,企业越倾向于尽早地RTP投资于海外市场;在两阶段内外生不确定性的不同条件下,RTP投资时机相应地对企业创新增长产生了显著的差异影响。     

工程施工中的SRTP问题研究

在大型的建设工程项目中，经常要进行场地平整工作。场地平整过程中需要进行大量的施工材料的调运工作，这引出了一个最短路径调运问题（SRTP），目标是找到一个最短的车辆行走路线，使得整个施工过程的总运输距离最短。该问题属于NP-hard问题，本文采用模拟退火算法求解该问题，最后通过箅例计算，并同贪婪算法的求解结果进行比较，验证了模拟退火算法的高效性。     

The use of advance demand information in a project-based supply chain

In a project environment, a manufacturer is confronted with two types of demand: regular demand from many small orders and very irregular, lumpy demand from infrequent, large orders. Manufacturers who build to stock must carry large safety stocks to meet the lumpy demand. As part of the project engineering process, however, project engineers and implementers (e.g. installers) typically have developed information about material requirements well in advance of placement of orders. We analyze the inventory reduction that could be achieved if the installer were to communicate advance demand information (ADI) to the manufacturer. We look at it in particular when the bid is placed. We focus on the following characteristics of available ADI in project environments: First, ADI information is uncertain, because decisions on installer and manufacturer selection have not yet been finalized. Second, information is detailed, available at the item level. We show that ADI is particularly valuable when potential demand for large projects is irregular and when proposals for potential projects have a high probability of leading to orders.     

基于突变模型的大型复杂工程项目自组织过程研究

从分析大型复杂工程项目群的自组织过程入手,研究项目群在突变过程中的演化规律,通过采用突变理论和奇点理论,构建大型复杂工程项目群自组织模型,阐释复杂系统突发事件产生的机理,证实大型复杂工程项目的系统之间具有发散性和不稳定性,说明大型复杂工程项目管理者的控制能力可以作用于行为主体,以改变行为主体特征的方式,改变系统的运行模式,起到有效控制不稳定过程的作用.     

Project dynamics and emergent complexity

This paper presents a theoretical analysis of project dynamics and emergent complexity in new product development (NPD) projects subjected to the management concept of concurrent engineering. To provide a comprehensive study, the complexity frameworks, theories and measures that have been developed in organizational theory, systematic engineering design and basic scientific research are reviewed. For the evaluation of emergent complexity in NPD projects, an information-theory quantity—termed “effective measure complexity” (EMC)—is selected from a variety of measures, because it can be derived from first principles and therefore has high construct validity. Furthermore, it can be calculated efficiently from dynamic generative models or purely from historical data, without intervening models. The EMC measures the mutual information between the infinite past and future histories of a stochastic process. According to this principle, it is particularly interesting to evaluate the time-dependent complexity in NPD and to uncover the relevant interactions. To obtain analytical results, a model-driven approach is taken and a vector autoregression (VAR) model of cooperative work is formulated. The formulated VAR model provided the foundation for the calculation of a closed-form solution of the EMC in the original state space. This solution can be used to analyze and optimize complexity based on the model’s independent parameters. Moreover, a transformation into the spectral basis is carried out to obtain more expressive solutions in matrix form. The matrix form allows identification of the surprisingly few essential parameters and calculation of two lower complexity bounds. The essential parameters include the eigenvalues of the work transformation matrix of the VAR model and the correlations between components of performance fluctuations.