[PDF] Mathematical Programming And Capital Budgeting Under Risk eBook

Author : Alvin K. Klevorick
Publisher :
Page : 23 pages
File Size : 45,24 MB
Release : 1966
Category : Capital investments
ISBN :

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The research discussed in this paper and the work of which it forms a part consitute another exception to the general stream of capital-budgeting literature. The larger work is concerned first with decision-making under risk when the decisions and the risks extend over more than one period of time. Then capital-budgeting under risk is studied as a particular example of such decision-making. This paper limits its concern to a discussion of a particular type of capital-budgeting problem when risk exists. (Author).

Author : Alvin Keith Klevorick
Publisher :
Page : 363 pages
File Size : 30,62 MB
Release : 1967
Category : Capital budget
ISBN :

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The study considers the problem of capital budgeting under risk for a firm operating in an imperfect capital market. The 'capital-budgeting problem' is defined as the problem of allocating fixed budget dollars in each of several time periods among competing investment proposals. The total fixed amount of money available for investment purposes in any period and the composition of the financing of that amount are taken as given. Subject to an absolute borrowing limit in each period, the firm can borrow and lend funds at constant but divergent rates of interest with the borrowing rate exceeding the lending rate. The gross returns from the potential projects are stochastic; everything else is assumed to be known with certainty.

Author : R.L. Crum
Publisher : Springer Science & Business Media
Page : 246 pages
File Size : 23,30 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 9401174083

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The business environment, particularly after the continuing oil crises of the seventies, can be characterized as evolving rapidly in complex and often unpre dictable ways. Such things as high interest and inflation rates, fluctuating ex change rates, volatile commodity markets, and increasing political turmoil have led to a situation in which explicit consideration of environmental dynamics is becoming much more important for successful business planning than was true in the past. Companies are finding that it is no longer possible to conduct "busi ness as usual" under these changing circumstances. Rather, decision makers are having to be more cognizant of the many sources of uncertainty that could have serious impacts on the continued prosperity of the firm, as well as of actions that can be taken so that the company can thrive in spite of these greater uncertainties. Businesses have responded to these challenges by giving more thorough con sideration to strategic issues. Whereas in the past the steady progression of mar kets and technology was taken for granted, the uncertainties associated with increased worldwide competition, as well as with other exogenous factors, have vii viii INTRODUCTION forced companies to think more about flexibility. This involves not only how best to exploit profitable current options, but also how to position themselves at present to be able to respond appropriately to threats and opportunities as they arise in the future. Unfortunately, in this redirection of outlook, the fmance profession has not kept pace.

Author : Bertil Näslund
Publisher :
Page : 187 pages
File Size : 35,17 MB
Release : 1964
Category : Decision making
ISBN :

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Contents: Some formulations of mathematical programming under risk Chance-constrained programming as a model of decision making under risk The creation of excess resources under risk Portfolio selection Capital budgeting under risk Chance constrained programming as a problem in calculus of variations Applications of the variational formulation to a production problem.

Author : Constantin Zopounidis
Publisher : Springer Science & Business Media
Page : 328 pages
File Size : 35,2 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 1461554950

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This book presents a set of new, innovative mathematical modeling tools for analyzing financial risk. Operational Tools in the Management of Financial Risks presents an array of new tools drawn from a variety of research areas, including chaos theory, expert systems, fuzzy sets, neural nets, risk analysis, stochastic programming, and multicriteria decision making. Applications cover, but are not limited to, bankruptcy, credit granting, capital budgeting, corporate performance and viability, portfolio selection/management, and country risk. The book is organized into five sections. The first section applies multivariate data and multicriteria analyses to the problem of portfolio selection. Articles in this section combine classical approaches with newer methods. The second section expands the analysis in the first section to a variety of financial problems: business failure, corporate performance and viability, bankruptcy, etc. The third section examines the mathematical programming techniques including linear, dynamic, and stochastic programming to portfolio managements. The fourth section introduces fuzzy set and artificial intelligence techniques to selected types of financial decisions. The final section explores the contribution of several multicriteria methodologies in the assessment of country financial risk. In total, this book is a systematic examination of an emerging methodology for managing financial risk in business.

Author : Robert Francais Byrne
Publisher :
Page : 279 pages
File Size : 38,23 MB
Release : 1968
Category : Carnegie-Mellon University
ISBN :

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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).