个人简介 姓名：房勇
所别：系统科学研究所
职称：副研究员，中国科学院管理、决策与信息系统重点实验室主任助理


教育经历
1993-1997 山东大学数学学院学习，获理学学士学位
1997-2000 山东大学数学学院学习，获理学硕士学位
2000-2003 中国科学院数学与系统科学研究院学习，获管理学博士学位


学术成就
出版学术专著5部
在European Journal of Operational Research和IEEE Transactions on Fuzzy Systems等国内外重要学术期刊上发表论文50余篇
主持国家自然科学基金面上项目2项
参与973项目、国家自然科学基金创新群体项目和国家自然科学基金重大项目、重点项目等国家级项目多项


社会兼职
中国系统工程学会理事
中国系统工程学会青年工作委员会副主任委员
金融系统工程专业委员会秘书长
中国优选法、统筹法与经济数学研究会理事
青年工作委员会常委委员
中国运筹学会理事、决策科学分会副理事长兼秘书长
中国数量经济学会经济风险分会副理事长
《系统科学与数学》副主编
《系统工程理论与实践》、Journal of System Science and Information编委
曾作为中组部、共青团第10批博士服务团成员挂职新疆维吾尔自治区国有资产监督管理委员会主任助理

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研究方向 金融工程与风险管理运筹管理

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学术专著 A mixed R&D projects and securities portfolio selection model The business environment is full of uncertainty. Allocating the wealth among various asset classes may lower the risk of overall portfolio and increase the potential for more benefit over the long term. In this paper, we propose a mixed single-stage R&D projects and multi-stage securities portfolio selection model. Specifically, we present a bi-objective mixed-integer stochastic programming model. Moreover, we use semi-absolute deviation risk functions to measure the risk of mixed asset portfolio. Based on the idea of moments approximation method via linear programming, we propose a scenario generation approach for the mixed single-stage R&D projects and multi-stage securities portfolio selection problem. The bi-objective mixed-integer stochastic programming problem can be solved by transforming it into a single objective mixed-integer stochastic programming problem. A numerical example is given to illustrate the behavior of the proposed mixed single stage R&D projects and multi-stage securities portfolio selection model.

Portfolio rebalancing models with transaction costs based on the fuzzy decision theory The fuzzy set is one of the powerful tools used to describe an uncertain environment. As well as quantifying any potential return and risk, portfolio liquidity is taken into account and a linear programming model for portfolio rebalancing with transaction costs is proposed. The level of return that an investor might aspire to, the risk and the liquidity of portfolio are vague in an uncertain financial environment. Considering them as fuzzy numbers, we propose a portfolio rebalancing model with transaction costs based on fuzzy decision theory. An example is given to illustrate the behavior of the proposed model using real data from the Shanghai Stock Exchange.

A class of linear interval programming problems and its application to portfolio selection This paper discusses a class of linear programming problems with interval coefficients in both the objective functions and constraints. The noninferior solutions to such problems are defined based on two order relations between intervals, and can be found by solving a parametric linear programming problem. Considering the uncertain returns of assets in capital markets as intervals, we propose a model for portfolio selection based on the semiabsolute deviation measure of risk, which can be transformed to a linear interval programming model studied in the paper. The method is illustrated by solving a simplified portfolio selection problem.

Representation Bias, Return Forecast, and Portfolio Selection in the Stock Market of China Representation bias means a kind of cognitive tendency, and, for investors, it can affect their behavior in the stock market. Whether the representation bias can help the return forecast and portfolio selection is an interesting problem that is less studied. In this paper, based on the representation bias theory and current markets situation in China, a new hierarchy of stock measurement system is constructed and a corresponding set of criteria is also proposed. On each criterion, we try to measure the influence among stocks with adapted fuzzy AHP. Then the Hausdorff distance is applied to weight and compute the horizontal representation returns. For the forecast returns, according to representation behaviors, there is also a new computation method. Empirical results show that the representation bias information is useful to the return forecast as well as the portfolio selection.

Three aspects on solving queuing service system in Shanghai World Expo This paper analyzes the queuing problem that was experienced during the Shanghai World Expo of

Fuzzy Portfolio Optimization: Theory and Methods

Can Representation Bias Help the Returns Forecast and Portfolio Selection? The purpose of this work is to figure out whether the representation bias can help the returns forecasting and portfolio selection. Based on the representation bias theory, first of all, a new stock hierarchy system is constructed, and the influence of the criteria on the stocks is measured by adapted fuzzy AHP. Then a new weighting and computing method to the horizontal and vertical representation returns is proposed and tested. The results show that the representation bias information can be useful to the returns forecast as well as the portfolio selection. Finally, the horizontal and vertical representation returns are combined as to construct a comprehensive representation return, and both its advantages and disadvantages are discussed in some way.

基于随机规划的多阶段投资组合选择 本书是作者近几年来在基于随机规划的多阶段投资决策领域的研究工作的总结,另外也介绍了该领域其他一些****的重要研究进展。随机规划理论作为近年来重新备受关注的一种方法,在投资组合选择和金融风险管理方面有重要的应用。

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科研项目 国家自然科学基金面上项目：基于模糊决策的多阶段投资组合优化研究，批准号**，2007年至2009年，主持人

国家自然科学基金优秀创新研究群体：不确定性决策理论与方法，批准号**，2002年至2008年，核心成员

国家自然科学基金主任基金：管理科学与工程学科“十一五”规划与优先资助领域遴选，批准号**，2005年1月至2005年12月，核心成员

国家自然科学基金专项基金：国家自然科学基金“十二五”资助结构与管理模式研究，2009年7月至2009年12月，核心成员

国家自然科学基金应急项目:大宗商品定价权研究，批准号**，2006年1月至2006年12月，主要成员

中国石油化工集团研究项目：石油价格波动机制与预测研究，2006年7月至2009年7月，课题组副组长

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联系方式 地址：北京海淀区中关村东路55号 中国科学院数学与系统科学研究院 思源楼506
电话：
邮箱：yfang@amss.ac.cn

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