Risk assessment and optimal scheduling of serial projects
针对市场不确定性和行业放松管制带来的挑战，从私人企业视角出发，为序列项目的容量扩张开发了衡量下行风险并优化阶段顺序的框架，考虑了工期变异性和风险偏好对最优序列的影响。
Abstract The valuation and planning of complex projects are becoming increasingly challenging with rising market uncertainty and the deregulation of many industries, which have also raised the need for efficient risk management. We take the perspective of a private firm interested in sequential capacity expansion of a project and develop a framework for measuring the downside risk of the serial project and optimising the sequence of the stages. Under general distributional assumptions for the duration of each stage, we present an accurate representation of the project’s net present value (NPV) distribution based on a Pearson curve fit, leading to closed-form expressions for the associated risk measures. We then assess the impact of duration variability on the value at risk and demonstrate its role in stochastic project scheduling. We also account for the trade-off between maximising the expected NPV and minimising the risk exposure, and obtain the optimal schedule for risk-averse decision-makers. It becomes obvious that both the duration variability of each stage and the decision-makers’ risk preferences can significantly affect the optimal sequence of the stages and that high duration variability is not always undesirable, even for risk-averse decision-makers.