Some Practical Aspects of Capital Budgeting Using Chance Constrained Programming
Author : Robert Stephen Hoyle
Publisher :
Page : 430 pages
File Size : 11,19 MB
Release : 1976
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Author : Robert Stephen Hoyle
Publisher :
Page : 430 pages
File Size : 11,19 MB
Release : 1976
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Author : Robert Francais Byrne
Publisher :
Page : 279 pages
File Size : 40,76 MB
Release : 1968
Category : Carnegie-Mellon University
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The report explores a group of approaches to risk control in the capital budgeting process. The specific meaning of risk in the capital investment decision is examined. Models are developed by incorporating risk control measures which are common business practice (particularly the 'payback' method) with some of the recent developments in mathematical programming. Specific models are developed to illustrate methods of dealing with two of the major risk elements in the capital budgeting risks in the sense of insufficient liquidity. In particular, the stochastic nature of the cash flows generated by a project is dealt with by the methodologies of Chance-Constrained Programming and Linear Programming Under Uncertainty (LPUU). A model is developed for the case in which the cash flows are assumed to be normally distributed. A model is also developed where the cash flows are described by arbitrary discrete distributions. The applicability of goemetric programming as a solution method for the discrete model is evaluated. An integer linear programming model is developed by a transformation of the geometric programming model, and its properties and interpretations are investigated. The dual to this model is found to offer significant insights into the problem, with particular reference to the effects of controlling risk elements on a portfolio basis in contrast with the common practice of controlling risks on an individual project basis. (Author).
Author : Jesus Herrero
Publisher :
Page : 158 pages
File Size : 33,43 MB
Release : 1974
Category : Capital budget
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Author : R. F. Byrne
Publisher :
Page : 70 pages
File Size : 31,22 MB
Release : 1969
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Aspects of the duality theory for semi-infinite programming are extended to fields with properties of non-Archimedean order. Emphasis is on nonstandard semi-infinite programming problems in Hilbert's Field. The ideas of regularization are generalized to include powers of the relative infinites in terms of the indeterminates. (Author).
Author : R. Byrne
Publisher :
Page : 33 pages
File Size : 40,30 MB
Release : 1966
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Ideas from Chance-Constrained (C2) Programming and Linear Programming under uncertainty (LPUU) are combined as part of an exploration in approaches to capital budgeting under risk which are likely to be more operational than those which are available in the form of a supposed prior characterization via utility functions, etc. Two types of risk are considered via payback and liquidity constraints which are designed to handle, respectively, economic risks in the sense of lost opportunity risks as well as accounting risks in the sense of actually realized loss possibilities. The concept of an 'horizon posture' is also introduced and elaborated via normal (and related) distributions and the zero-order rules of C2 programming. (Author).
Author : Wade H. Shafer
Publisher : Springer Science & Business Media
Page : 304 pages
File Size : 32,12 MB
Release : 2013-11-21
Category : Science
ISBN : 1475757824
Masters Theses in the Pure and Applied Sciences was first conceived, published, and dis seminated by the Center for lnformation and Numerica/ Data Analysis and Synthesis (C/NDAS) * at Purdue University in 1957, starting its coverage of theses with the academic year 1955. Beginning with Volume 13, the printing and dissemination phases of the ac tivity were transferred to University Microfilms/Xerox of Ann Arbor, Michigan, with the thought that such an arrangement would be more beneficia! to the academic and general scientific and technical community. After fi ve years of this joint undertaking we had concluded that it was in the interest of ali concerned if the printing and distribution of the volume were handled by an international publishing house to assure improved service and broader dissemination. Hence, starting with Volume 18, Masters Theses in the Pure and App/ied Sciences has been disseminated on a worldwide basis by Plenum Publishing Corporation of New York, and in the same year the coverage was broadened to include Canadian universities. Ali back issues can also be ordered from Plenum. We have reported in Volume 21 (thesis year 1976) a total of 10,586 theses titles from 25 Canadian and 219 United States universities. We are sure that this broader base for theses titles reported will greatly enhance the value of this important annual reference work.
Author : Stanford University. Systems Optimization Laboratory
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Page : 60 pages
File Size : 18,12 MB
Release : 1974
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One application of dual-angular integer programming which has received considerable attention is in the area of multi-stage capital budgeting. Research in this area is concerned with one of the most important decisions for any economic unit, public or private -- that of allocating its limited financial resources in a manner which best supports the attainment of its goals. Nearly always, such decisions must be made in an environment characterized by incomplete information, uncertainty, complex interactions among activities, imperfect capital markets, and many other complicating factors. (Modified author abstract).
Author :
Publisher :
Page : 268 pages
File Size : 47,81 MB
Release : 1979
Category : Petroleum industry and trade
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Author : Theodore Andrew Struve
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Page : pages
File Size : 11,19 MB
Release : 1964
Category : Capital investments
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Author : Gerhard Schiefer
Publisher :
Page : 28 pages
File Size : 32,72 MB
Release : 1978
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Capital budgeting problems with linear decision variables that can be either continuous or integer and where some or all of the associated cash flows are random variables that may be statistically dependent are considered. They are formulated as convex chance-constrained programming problems that can be approximated by ordinary (integer or noninteger) linear programming problems. The proposed procedure allows the explicit consideration of decision opportunities dealing with a deficit or surplus in periodic net cash flows such as the accumulation of an optimal cash reserve or appropriate borrowing and lending opportunities and of penalties that have to be paid if periodic deficits do occur or the probability constraints do happen to be violated.