受弹性时间段和价值波动双重影响的项目组合选择问题研究

doi:10.16381/j.cnki.issn1003-207x.2019.0860

摘要/Abstract

摘要： 许多现有的项目组合模型都认为项目集合可以在固定的计划期完成，但是在实际的项目执行过程中，决策者为了使得高收益的项目纳入项目集合中或者放弃风险高的项目来释放更多的资金，会选择对项目组合固定的计划期进行灵活性调整。同时，考虑到项目未来价值的不确定性，本文利用实物期权的二叉树模型给出了价值波动的公式，进而建立了同时受弹性时间段和价值波动影响的项目组合选择的新模型，对传统的计算项目价值的净现值法进行补充。通过GAMS/BARON对算例进行求解，验证了模型的合理性和有效性。结果表明：考虑弹性时间段和价值波动的影响会给更符合企业长期的发展战略，给企业带来更大的收益，该模型也为处理不确定情况下的项目组合问题提供了新思路和新方法。

关键词: 弹性时间段, 价值波动, 项目组合选择, 二叉树

Abstract: Due to the shortage of resources, project managers are more and more eager to carry out multiple projects in parallel in a limited time and resource range in order to obtain higher benefits. However, there will be a high degree of uncertainty in the parallel development of many projects, which will affect the development of enterprises. The existing project portfolio models all think that the project set can be completed in a fixed planning period, but in the actual project implementation process, the decision makers often adjust the length of the planning period reasonably according to the actual situation, extended the planning period so that the high-yield projects can be included in the project set or shorten the planning period as much as possible to give up the risky projects and release more funds. Therefore, the flexible time horizon is brought into the project portfolio selection model. At the same time, considering that the value of the project will change with time, for the uncertainty of the future value of the project, the binary tree model of real options is used to define the formula of value fluctuation and a new model of project portfolio selection affected by flexible time horizon and value fluctuation is established at the same time, and the traditional net present value method (NPV) is complemented for calculating project value. In the part of case analysis, a set of data is randomly generated, and the rationality and effectiveness of the model are proved by using GAMS/BARON through the comparative analysis of four kinds of scenes. In order to further illustrate the practical application of the model, this paper applies the model to acrylic factory to optimize the alternative project of the factory and schedule the production schedule in the next month. The results show that considering the influence of value fluctuation and flexible time horizon will be more in line with the long-term development strategy of enterprises and bring greater benefits. The model also provides a new idea and method for dealing with the problem of project portfolio under uncertain conditions.

Key words: flexible time horizon, value fluctuation, project portfolio selection, binary tree

中图分类号:

C934

马绍益, 李星梅, 李金孟. 受弹性时间段和价值波动双重影响的项目组合选择问题研究[J]. 中国管理科学, 2021, 29(8): 106-115.

MA Shao-yi, LI Xing-mei, LI Jin-meng. Research on Project Portfolio Selection Problem Affected by Flexible Time Horizon and Value Fluctuation[J]. Chinese Journal of Management Science, 2021, 29(8): 106-115.

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