| Financial positions in enterprises, especially cash position, which is the core of financial positions, confronted with each manufature enterprise, and also as an innermost part to dynamic portfolio management of financial institutions. By far, it is short of theoretic study in domestic academe whereas it is a hotspot in international academe. There has much fruits to achieve both in theory and in practice, it also has extraordinary economic value to enterprises. As a type of capital-coarctated enterprise, electric power company is a corking representative in demonstration research.To clarify differentia in cognition, the thesis starts with traditional position, give a clear boundary to the definition of corporate financial positions. As an important part of model constitution, a systemic depiction and pectination is drawn to corporate cash management, tools of risk measurement to corporate financial positions and portfolio of financial positions. In corporate cash management field, from early Baumol model, Miller-Orr model to the latest diffusion approximation model, pulse control model, we also give a brief view to network model, periods vary model, transportation model and all sorts of programming model; In tools of risk measurement to corporate financial positions field, we mainly analyze traditional methods such as nominal amount, sensitivity method, undulation method, and give an emphasis in VaR, which is the latest and magistral tool in financial market risk measurement. VaR has many merits as well as some limitations, together with traditional risk mearsurement tools, a perfect risk measure and control system is built up to monitor corporate financial positions; In portfolio of financial positions field, we generalize three important models, that is Markowitz model which is the earliest theory in portfolio optimization study, Harlow model which adopts downside-risk method and VaR model which is nearest to investers' actual risk feelings.In view of the above-mentioned cognition and visual illumination, Established in premise of prudent management and various restrained conditions, to achieve the goal, which is the maximization of corporate financial positions management benefits or minimization of managment costs. On the basis of risk control, the core of optimization of corporate financial positions, An optimization model frame of corporate financial positions which contains risk measurement module before optimization, optimization module of corporate financial positions and risk measurement module after optimiazation is built up based on VaR, risk measurement points are clearly expounded in the frame. Then emphases turn to the innermost part of the thesis, which is the design of optimization module of corporate financial positions, methodology of module design is also well explained. In the end of 3rd part, the objective function, conditions of balance restriction, conditions of control restriction etc. are depicted one by one with programming language.In demonstration part, selective reasons and management characteristics ofdemonstration study object--ZEPC is firstly illuminated, characteristics of capitalmovements in electric power company especially structive characterics of Cash Flow In and Cash Flow Out are anatomized. Through simplification, external key items input to module are gained under proper efficiency and effect of optimization. Then the thesis chooses 2003 financial year as basic research period, and chooses 2001-2003 period as outstretched research period in demonstration study, external key items are validated through analyze to undulations of Cash Flow In port and Cash Flow Out port. After market risk measurements to corporate financial positions before optimization, optimization module fits to electric power company is transparently depicted, and optimization study of corporate financial positions in ZEPC under deterministic assumption and stochastic assumption is clearly dwelled on during basic research period and outstretched research period, scenario optimization approach in a complete... |
