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| Tekijä: | Rosenblatt, M. J. Sinuany-Stern, Z. |
| Otsikko: | Generating the discrete efficient frontier to the capital budgeting problem. |
| Lehti: | Operations Research
1989 : MAY-JUN, VOL. 37:3, p. 384-394 |
| Asiasana: | CAPITAL BUDGETING INTEGER PROGRAMMING |
| Kieli: | eng |
| Tiivistelmä: | The problem of capital budgeting with two objectives is dealt with. One objective is maximizing the present value of the accepted projects. Besides, the risk involved in those projects is incorporated into the objective function. Assuming that the weights assigned to these two objective functions are unknown, a discrete efficient frontier /DEF/ approach is utilized to represent all the efficient combinations and solve this problem. Also, the optimality range of each efficient combination over the entire possible range of weights is obtained. Two algorithms are presented, and some properties and stopping rules are discussed. |
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