A BASIC APPROACH TO THE EVALUATION OF RISKY INTERRELATED INVESTMENTS

Abstract

When evaluating proposals for capital investment, it often is necessary to consider interrelationships of various kinds between the proposed projects. The amount of risk associated with the investments also is a very important factor. The paper studies the problem of how to simultaneously take both considerations into account in order to determine the best overall combination of projects to approach. An approximate linear programming approach and an exact integer nonlinear programming algorithm for finding the best combination of investments are reviewed. The results of extensive computational experimentation with these solution procedures are reported and evaluated.

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Document Details

Document Type
Technical Report
Publication Date
Aug 15, 1969
Accession Number
AD0696999

Entities

People

  • Frederick Stanton Hillier

Organizations

  • Stanford University

Tags

Communities of Interest

  • C4I
  • Human Systems

DTIC Thesaurus Topics

  • Abstracts
  • Algorithms
  • Capital Investments
  • Computer Programming
  • Economics
  • Integer Programming
  • Investments
  • Linear Programming
  • Mathematical Programming
  • Military Research
  • Money
  • Nonlinear Programming
  • Operations Research
  • Probability
  • Probability Distributions
  • Random Variables
  • Test And Evaluation

Readers

  • Economics
  • Operations Research
  • Systems Analysis and Design