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| Tekijä: | Mehrez, A. Sniedovich, M. |
| Otsikko: | An analysis of a dynamic project cost problem |
| Lehti: | Journal of the Operational Research Society
1992 : JUN, VOL. 43:6, p. 591-604 |
| Asiasana: | PROJECTS COSTS OPTIMIZATION STOCHASTIC PROCESSES MODELS ALLOCATION |
| Kieli: | eng |
| Tiivistelmä: | A stochastic allocation model for a sequential financial problem involving the allocation of funds to uncertain future payments. It is shown that under certain conditions the optimal allocation policies are piece-wise linear with the budget available, and that there exists an intimate relationship between these policies and the myopic policies obtained from the solution of a sequence of single-payment problems. A numerical example is provided and certain technical and methodological issues associated with a chance constraint version of the problem are discussed. |
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