论文信息 - Solution of Capital Budgeting Problems Having Chance Constraints; Heuristic and Exact Methods

Solution of Capital Budgeting Problems Having Chance Constraints; Heuristic and Exact Methods

Abstract The capital budgeting heuristic (CBH) algorithm for solving capital budgeting problems is extended to solve problems with chance constraints of the form Pr where each αi is specified. The objective function is linear, being the expectation-variance form of utility function. Computational experience is described using the modified CBH to solve a set of 24 problems, each having 30 independent projects and 5 budget periods.

Clifford C. Petersen | C. C. Petersen

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