运筹与管理Issue(6)：92-98,7.
考虑破产风险约束的多项目投资组合决策模型
Multi-project Portfolio Model with Bankruptcy Risk
摘要
Abstract
The premise of the expected returns for investors is the investment decision does not lead to bankruptcy . So controlling the probability of bankruptcy is essential .According to the credibility measure theory and the Roy’ s definition, we obtain the mathematic equation of bankruptcy risk control when the future cash flow is being the fuzzy variables .Under the effect of the bankruptcy factors in the investment process , we propose a multi-project portfolio decision model with bankruptcy risk control .Finally, we use the genetic algorithm to solve our proposed model , and a numerical example of project portfolio is given to illustrate the feasibility and the effectiveness of the proposed approaches .关键词
可信性测度/破产风险/多项目投资组合/遗传算法Key words
credibility measure/bankruptcy risk/multi-project portfolio/genetic algorithm分类
管理科学引用本文复制引用
徐维军,罗伟强,张卫国..考虑破产风险约束的多项目投资组合决策模型[J].运筹与管理,2013,(6):92-98,7.基金项目
国家杰出青年科学基金资助项目（70825005）；国家自然科学基金资助项目（71171086）；教育部新世纪优秀人才支持计划（NCET-10-0401）；广东省高等学校高层次人才项目 （）
