摘要
将风险的概念引入局内租赁问题中,建立了该问题的风险补偿模型,并对存在和不存在利率情况下的局内租赁问题作了分析.和局内问题中传统的竞争比分析不同的是,竞争比分析只反映局内策略与基准算法(局外最优算法)的相对绩效,但这往往忽略了很多的有用信息,且分析模型很不灵活.然而在风险补偿模型中,投资者可以控制风险,根据自己不同的风险容忍度和未来预期选择最优的租赁策略.
An important factor that affects the daily investment decision is the risk. This paper introduced the risk concept into the online leasing problem, built the risk-reward model and analyzed the online leasing problem with interest and without interest in this risk-reward model. Traditional competitive analysis reflects the relative performance of online algorithm to benchmark algorithm (usually the offline optimal algorithm). But this approach is too inflexible and neglects some useful information the online player may have. Different from this method, the investor can control his own undertaken risk and choose the optimal online leasing strategy according to his own risk tolerance and forecast in the risk-reward model.
出处
《管理科学学报》
CSSCI
2004年第3期64-68,74,共6页
Journal of Management Sciences in China
基金
国家自然科学基金委员会优秀创新群体资助项目(70121001)
国家自然科学基金资助项目(10371094).
关键词
租赁
局内算法
竞争分析
风险补偿模型
leasing
on-line algorithm
competitive analysis
risk-reward model
