This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper...This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper analyzes the question using the real statistical data. The results indicate that discrete investment portfolio model really has its guidance in the actual investment.展开更多
Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance mo...Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.展开更多
In this paper, a new branch-and-bound algorithm based on the Lagrangian dual relaxation and continuous relaxation is proposed for discrete multi-factor portfolio selection model with roundlot restriction in financial ...In this paper, a new branch-and-bound algorithm based on the Lagrangian dual relaxation and continuous relaxation is proposed for discrete multi-factor portfolio selection model with roundlot restriction in financial optimization. This discrete portfolio model is of integer quadratic programming problems. The separable structure of the model is investigated by using Lagrangian relaxation and dual search. Computational results show that the algorithm is capable of solving real-world portfolio problems with data from US stock market and randomly generated test problems with up to 120 securities.展开更多
In this paper, a bivariate stochastic process with Poisson postulates has been considered to model the incomings, outgoings and mutual transfers of investments between and within the portfolios during an epoch of time...In this paper, a bivariate stochastic process with Poisson postulates has been considered to model the incomings, outgoings and mutual transfers of investments between and within the portfolios during an epoch of time “t”. Stochastic differential equations were obtained from the simple differential difference equations during the epoch of time “Δt”. The notion of bivariate linear birth, death and migration process has been utilized for measuring various statistical characteristics among the investments of Long and Short terms. All possible fluctuations in the investment flow have been considered to explore more meaningful assumptions with contemporary marketing environments. Mathematical relations for proposed statistical measures such as average sizes and variances of short term and long-term investments along with the correlation coefficient between them are derived after obtaining the related differential equations. Numerical illustrations were provided for better understanding of the developed models with practitioner’s point of view.展开更多
To improve the enterprise resource utilization and shorten the cycle of the whole project portfolio, a scheduling model based on Design Structure Matrix （DSM） is built. By setting the project activity weight index s...To improve the enterprise resource utilization and shorten the cycle of the whole project portfolio, a scheduling model based on Design Structure Matrix （DSM） is built. By setting the project activity weight index system and calculating the activity weight for the project portfolio, the constraint relationship between project portfolio information and resource utilization, as the two dimensions of the DSM, are fully reflected in the sched- ule model to determine the order of these activities of project portfolio. A project portfolio example is given to il- lustrate the applicability and effectiveness of the schedule model.展开更多
Aiming at constructing the multi-knapsack model of collaborative portfolio configurations in multi-strategy oriented, the hybrid evolutionary algorithm was designed based on greedy method, combining with the organizat...Aiming at constructing the multi-knapsack model of collaborative portfolio configurations in multi-strategy oriented, the hybrid evolutionary algorithm was designed based on greedy method, combining with the organization of the multiple strategical guidance and multi-knapsack model. Furthermore, the organizing resource utility and risk management of portfolio were considered. The experiments were conducted on three main technological markets which contain communication, transportation and industry. The results demonstrated that the proposed model and algorithm were feasible and reliable.展开更多
The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;i...The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;it is usually described by qualitative information and expressed as multiple possible values.We propose a method of equipment system portfolio selection under hesitant fuzzy environment.The hesitant fuzzy element(HFE) is used to describe the index and attribute values of the equipment system.The hesitation degree of HFEs measures the uncertainty of the criterion data of the equipment system.The hesitant fuzzy grey relational analysis(GRA) method is used to evaluate the score of the equipment system, and the improved HFE distance measure is used to fully consider the influence of hesitation degree on the grey correlation degree.Based on the score and hesitation degree of the equipment system,two portfolio selection models of the equipment system and an equipment system portfolio selection case is given to illustrate the application process and effectiveness of the method.展开更多
风化基岩含水层作为陕北侏罗纪煤田的主要突水水源之一,严重威胁着矿井的安全开采。准确预测风化基岩含水层的富水情况,是矿井防治水工作中的重要一环,对保障矿井安全生产具有重要意义。以红柳林井田西一盘风化基岩含水层富水性作为研...风化基岩含水层作为陕北侏罗纪煤田的主要突水水源之一,严重威胁着矿井的安全开采。准确预测风化基岩含水层的富水情况,是矿井防治水工作中的重要一环,对保障矿井安全生产具有重要意义。以红柳林井田西一盘风化基岩含水层富水性作为研究背景,选取含水层厚度、岩性组合、风化程度、风化基岩顶面标高和埋深5个影响因素作为评价指标,建立了风化基岩含水层富水性评价体系;依据综合评价理论提出了一种以模糊层次分析(Fuzzy Analytic Hierarchy Process,FAHP)主观赋权法和变异系数(Coefficient of Variation,CV)客观赋权法相结合的主客观赋权方法分配各指标权重,该方法充分考虑了人为因素的主观性和数据本身特征,提高了指标赋权的客观性;基于主客观组合赋权的方法构建了以逼近理想解排序法(Technique for Order Preference by Similarity to Ideal Solution,TOPSIS)进行排序、秩和比法(Rank-Sum Ratio,RSR)辅助分档的富水性评价模型。通过该模型对研究区内风化基岩含水层富水性进行评价,将评价结果转换为了可视化分区图,并综合抽水试验钻孔单位涌水量对分区结果进行验证。结果表明:红柳林西一盘区及周边41个抽水试验钻孔,除B23-27、L6水、Z4抽水试验钻孔外,其余抽水试验钻孔分区结果与单位涌水量划分结果一致,说明该模型的富水性分区评价结果基本可靠;显示了该模型具有较高的准确性和科学性,丰富了富水性评价方法,为相似条件下的矿井含水层富水性评价提供了新的思路和方法。展开更多
基金Supported by the Key Project of Science and Technology Department of Henan Province(122102210060)
文摘This paper studies discrete investment portfolio model that the objective function is utility function. According to a hybrid branch-and-bound method based on Lagrangian relaxation and continuous relaxation, the paper analyzes the question using the real statistical data. The results indicate that discrete investment portfolio model really has its guidance in the actual investment.
基金National Natural Science Foundations of China(Nos.71271003,71171003)Programming Fund Project of the Humanities and Social Sciences Research of the Ministry of Education of China(No.12YJA790041)
文摘Assuming the investor is uncertainty-aversion,the multiprior approach is applied to studying the problem of portfolio choice under the uncertainty about the expected return of risky asset based on the mean-variance model. By introducing a set of constraint constants to measure uncertainty degree of the estimated expected return,it built the max-min model of multi-prior portfolio,and utilized the Lagrange method to obtain the closed-form solution of the model,which was compared with the mean-variance model and the minimum-variance model; then,an empirical study was done based on the monthly returns over the period June 2011 to May 2014 of eight kinds of stocks in Shanghai Exchange 50 Index. Results showed,the weight of multi-prior portfolio was a weighted average of the weight of mean-variance portfolio and that of minimumvariance portfolio; the steady of multi-prior portfolio was strengthened compared with the mean-variance portfolio; the performance of multi-prior portfolio was greater than that of minimum-variance portfolio. The study demonstrates that the investor can improve the steady of multi-prior portfolio as well as its performance for some appropriate constraint constants.
基金Project supported by the National Natural Science Foundation of China （Grant Nos.70518001. 70671064）
文摘In this paper, a new branch-and-bound algorithm based on the Lagrangian dual relaxation and continuous relaxation is proposed for discrete multi-factor portfolio selection model with roundlot restriction in financial optimization. This discrete portfolio model is of integer quadratic programming problems. The separable structure of the model is investigated by using Lagrangian relaxation and dual search. Computational results show that the algorithm is capable of solving real-world portfolio problems with data from US stock market and randomly generated test problems with up to 120 securities.
文摘In this paper, a bivariate stochastic process with Poisson postulates has been considered to model the incomings, outgoings and mutual transfers of investments between and within the portfolios during an epoch of time “t”. Stochastic differential equations were obtained from the simple differential difference equations during the epoch of time “Δt”. The notion of bivariate linear birth, death and migration process has been utilized for measuring various statistical characteristics among the investments of Long and Short terms. All possible fluctuations in the investment flow have been considered to explore more meaningful assumptions with contemporary marketing environments. Mathematical relations for proposed statistical measures such as average sizes and variances of short term and long-term investments along with the correlation coefficient between them are derived after obtaining the related differential equations. Numerical illustrations were provided for better understanding of the developed models with practitioner’s point of view.
基金supported by National Natural Science Foundation of China under Grant No.71172123Aviation Science Fund under Grant No.2012ZG53083+1 种基金Soft Science Foundation of Shaanxi Province under Grant No.2012KRM85the Funds of NPU for Humanities & Social Sciences and Management Revitalization under Grant No.RW201105
文摘To improve the enterprise resource utilization and shorten the cycle of the whole project portfolio, a scheduling model based on Design Structure Matrix （DSM） is built. By setting the project activity weight index system and calculating the activity weight for the project portfolio, the constraint relationship between project portfolio information and resource utilization, as the two dimensions of the DSM, are fully reflected in the sched- ule model to determine the order of these activities of project portfolio. A project portfolio example is given to il- lustrate the applicability and effectiveness of the schedule model.
文摘Aiming at constructing the multi-knapsack model of collaborative portfolio configurations in multi-strategy oriented, the hybrid evolutionary algorithm was designed based on greedy method, combining with the organization of the multiple strategical guidance and multi-knapsack model. Furthermore, the organizing resource utility and risk management of portfolio were considered. The experiments were conducted on three main technological markets which contain communication, transportation and industry. The results demonstrated that the proposed model and algorithm were feasible and reliable.
基金supported by the National Natural Science Foundation of China (7190121471690233)。
文摘The hesitant fuzzy set(HFS) is an important tool to deal with uncertain and vague information.In equipment system portfolio selection, the index attribute of the equipment system may not be expressed by precise data;it is usually described by qualitative information and expressed as multiple possible values.We propose a method of equipment system portfolio selection under hesitant fuzzy environment.The hesitant fuzzy element(HFE) is used to describe the index and attribute values of the equipment system.The hesitation degree of HFEs measures the uncertainty of the criterion data of the equipment system.The hesitant fuzzy grey relational analysis(GRA) method is used to evaluate the score of the equipment system, and the improved HFE distance measure is used to fully consider the influence of hesitation degree on the grey correlation degree.Based on the score and hesitation degree of the equipment system,two portfolio selection models of the equipment system and an equipment system portfolio selection case is given to illustrate the application process and effectiveness of the method.
文摘风化基岩含水层作为陕北侏罗纪煤田的主要突水水源之一,严重威胁着矿井的安全开采。准确预测风化基岩含水层的富水情况,是矿井防治水工作中的重要一环,对保障矿井安全生产具有重要意义。以红柳林井田西一盘风化基岩含水层富水性作为研究背景,选取含水层厚度、岩性组合、风化程度、风化基岩顶面标高和埋深5个影响因素作为评价指标,建立了风化基岩含水层富水性评价体系;依据综合评价理论提出了一种以模糊层次分析(Fuzzy Analytic Hierarchy Process,FAHP)主观赋权法和变异系数(Coefficient of Variation,CV)客观赋权法相结合的主客观赋权方法分配各指标权重,该方法充分考虑了人为因素的主观性和数据本身特征,提高了指标赋权的客观性;基于主客观组合赋权的方法构建了以逼近理想解排序法(Technique for Order Preference by Similarity to Ideal Solution,TOPSIS)进行排序、秩和比法(Rank-Sum Ratio,RSR)辅助分档的富水性评价模型。通过该模型对研究区内风化基岩含水层富水性进行评价,将评价结果转换为了可视化分区图,并综合抽水试验钻孔单位涌水量对分区结果进行验证。结果表明:红柳林西一盘区及周边41个抽水试验钻孔,除B23-27、L6水、Z4抽水试验钻孔外,其余抽水试验钻孔分区结果与单位涌水量划分结果一致,说明该模型的富水性分区评价结果基本可靠;显示了该模型具有较高的准确性和科学性,丰富了富水性评价方法,为相似条件下的矿井含水层富水性评价提供了新的思路和方法。
