摘要
基于项目投资决策的可延迟性特征,将实物期权的决策灵活性思想引入到企业的投资组合决策中,建立了基于实物期权的0-1整数规划模型。模型以项目的期权价值而非净现值最大化作为投资组合项目选择的标准,通过项目组合投资时机的灵活安排,实现了项目组合的总投资价值最大化。
The decision flexibility concept of real options was incorporated into enterprise＇s investment portfolio decision based on the delayable feature of project investment decision. A 0- 1＇s integer programming model was established on the basis of real options. In the model, the maximum of real option value instead of net present value was chosen as the criterion to select project portfolio. By means of arranging the investment time flexibly, the model optimized the value of investment portfolios.
出处
《工业工程与管理》
2006年第1期82-85,共4页
Industrial Engineering and Management
关键词
投资组合
优化
实物期权
0-1整数规划
project investment portfolio
optimize
real options
0-1 Integer Programming
