英文标题：
《Replica Analysis for Maximization of Net Present Value》
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作者：
Takashi Shinzato
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最新提交年份：
2018
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英文摘要：
In this paper, we use replica analysis to determine the investment strategy that can maximize the net present value for portfolios containing multiple development projects. Replica analysis was developed in statistical mechanical informatics and econophysics to evaluate disordered systems, and here we use it to formulate the maximization of the net present value as an optimization problem under budget and investment concentration constraints. Furthermore, we confirm that a common approach from operations research underestimates the true maximal net present value as the maximal expected net present value by comparing our results with the maximal expected net present value as derived in operations research. Moreover, it is shown that the conventional method for estimating the net present value does not consider variance in the cash flow.
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中文摘要：
在本文中，我们使用复制分析来确定能够使包含多个开发项目的投资组合的净现值最大化的投资策略。复制分析是在统计机械信息学和经济物理学中发展起来的，用于评估无序系统，在这里，我们使用它将净现值最大化表述为预算和投资集中度约束下的优化问题。此外，通过将我们的结果与运筹学中得出的最大预期净现值进行比较，我们确认运筹学中的一种常见方法低估了真实最大净现值作为最大预期净现值。此外，研究表明，传统的净现值估计方法没有考虑现金流量的方差。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Physics 物理学
二级分类：Disordered Systems and Neural Networks 无序系统与神经网络
分类描述：Glasses and spin glasses; properties of random, aperiodic and quasiperiodic systems; transport in disordered media; localization; phenomena mediated by defects and disorder; neural networks
眼镜和旋转眼镜；随机、非周期和准周期系统的性质；无序介质中的传输；本地化；由缺陷和无序介导的现象；神经网络
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一级分类：Physics 物理学
二级分类：Statistical Mechanics 统计力学
分类描述：Phase transitions, thermodynamics, field theory, non-equilibrium phenomena, renormalization group and scaling, integrable models, turbulence
相变，热力学，场论，非平衡现象，重整化群和标度，可积模型，湍流
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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