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After deregulation of the electricity sector, Distributed Generation (DG)has received increasing interest in the power systems development. The identification of efficient and well-timed investments in electric distribution networks that cope with large power market uncertainties is currently an open issue of significant research interest. Strategic flexibility for seizing opportunities and cutting...
The main purpose of this paper is to propose a fuzzy approach for investment project valuation in uncertain environments from the aspect of real options. The traditional approaches to project valuation are based on discounted cash flows (DCF) analysis which provides measures like net present value (NPV) and internal rate of return (IRR). However, DCF-based approaches exhibit two major pitfalls. One...
Lose aversion refers to the psychological phenomenal that losses and disadvantages have greater impact on preferences than gains and advantages. While to a considerable extent, risk aversion as it is commonly observed is caused by loss aversion. This paper integrates Markowitz's efficient frontier theory into lose aversion function, and the portfolio decision of lose averse investors has been discussed...
This paper addresses a new uncertainty set - interval random uncertainty set for robust Value-at-Risk optimization. The form of interval random uncertainty set makes it suitable for capturing the downside and upside deviations of real-world data. These deviation measures capture distributional asymmetry and lead to better optimization results. We also apply our interval random chance-constrained programming...
In securities markets, the expected rates of security returns are difficult to estimate precisely due to many uncertainties. In this paper, the author deals with the returns on securities in fuzzy terms. We use fuzzy number to deal with the uncertainty. Considering the three factors (return, risk and liquidity), we obtain a portfolio selection model based on the weighted possibilistic mean and variance...
Traditional organizational boundaries are challenged in a knowledge-based economy. New boundary conceptions should be developed as the demarcation between the organization and its environments. Analyzing organizational boundaries of competence under dynamic complex environment, the paper describes the organizational boundaries of competence fitting with organizational environment. Based on resource...
Correspond to Markowitz's classical model and other models which derived from statistical instruments and a regular efficient market, the author deals with the returns on securities in fuzzy terms. On the basis of the weighted possibilistic means, we compare the interval-valued expectation caused by a class of weighted functions. And indicate different ambiguity averse practitioners can choose different...
Considering the valuation of forest stands based on uncertain revenue from wood sales, concession policy (such as carbon subsidies), and associated costs, the paper focuses on building a stochastic control model to study the forest asset dynamic management. The key contributions are to establish a stochastic control model and to find the optimal dynamic strategy about harvesting quantity in the continual...
This paper deals with two risk management tools and their application on Economical crisis management. Next points out some problems in their research and application and the direction of research, introduced some concept and formula, finally puts forward the prospect.
With the recent emphasis on environmental issues and concerns for global warming, many states have adopted aggressive Renewable Portfolio Standards (RPS) requiring electricity suppliers to obtain a minimum percentage of their power from renewable energy resources by a given date. Among various states, California leads with an RPS of 20% by 2010, and 33% by 2020. Most renewable resources, by their...
In this work we consider the portfolio selection problems with uncertainties as a kind of multiple objective problem with fuzzy costs in the objective functions. The portfolio selection problems can be classified as convex programming problems. Although convex programming problems are a special class of nonlinear programming, they can also be defined as a general linear programming problem. These...
This paper proposes a stochastic model based on Monte-Carlo simulation to assess the expected costs and risks of different generation portfolios for electricity industries in an increasingly uncertain and carbon constrained world. The approach can incorporate uncertain carbon and fossil-fuel prices of virtually any probability distributions, as well as possible correlations between them. The tool...
Long-term power system planning is beset by a trade-off between detail and scope: The chosen approach usually lies somewhere between modeling a great many generation portfolios coarsely and very few in a more detailed manner. This paper seeks to argue that the performance of generation portfolios is influenced by a sufficiently large number of variables, of varying uncertainties, such that the long-term...
A strategic objective of defence R&D investments is the development of the indigenous defence technological capabilities, and the R&D process can be viewed as a capability development process. This paper builds on the literature in technology management and real options theory and presents a framework for defence R&D investments as real options. Defence R&D projects could be treated...
Since Research and Development (R&D) projects portfolio decision deals with future events and opportunities, much of the information required making portfolio decisions is at best uncertain and at worst very unreliable. R&D projects are sometimes hard to be evaluated and selected. In this paper, a R&D projects portfolio selection decision system has been proposed based on data mining and...
The context: the selection of a maximum value IT service portfolio is a major challenge to be faced by IT executives, during the Service Strategy phase of the IT service life cycle defined in ITIL. The problem: ITIL states that the value of an IT service should be estimated based on the improvement of customers' outcomes brought by the service. It is hard to apply this approach due to difficulties...
This paper presents a framework to support decision making for investments in IT services. Investment options are analyzed and ranked according to utility indices estimated from possible positive and negative business impact of IT services. The approach takes multiple criteria and uncertainty into account by means of multi-attribute utility theory and interval arithmetic. The business impact of IT...
With the liberalization in capital flows and the advances in telecommunication and computer technology, international portfolio selection has been becoming a hot topic for both practitioners and researchers. In traditional international portfolio selection, security selection used to be decided first without considering the fluctuation of foreign exchange rates. Then hedging strategies were made to...
The increasing demand of human resource outsourcing (HRO) has brought about the rapid development of HR outsourcing services. For this emerging industry, continuously improving the quality of service according to customer demand is an important subject to promote the development of the industry. So, product Quality Function Deployment (QFD) is introduced into the human resource outsourcing service...
One proposed approach to responsive space missions involves the building of spacecraft payloads and spacecraft busses to inventory, to be mated and launched based on immediate warfighter needs. This paper explores optimal inventory strategies for payloads and busses based on anticipated demand, demand uncertainty, unit costs and cost of non-availability. Demand for responsive missions is highly uncertain...
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