Dual Variables in Pure Capital Rationing Linear Programming Formulations

Hayes, James W.

doi:10.1080/00137918908902990

Cited by 8 publications

(2 citation statements)

References 7 publications

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“…The area of capital rationing is very large and diversified (eg, see Naslund, 1966;Hillier, 1972;Hayes, 1989). The central question in capital rationing is the allocation of limited financial resources among alternative projects with the aim of achieving maximum profit over time.…”

Section: Related Literaturementioning

confidence: 99%

Optimal project portfolio selection with carryover constraint

Gurgur

2009

Journal of the Operational Research Society

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In a typical capital rationing problem, a project portfolio is selected to maximize expected return on investment while adhering to the capital budget constraint. Sometimes projects may be delayed and they have to be funded beyond their planned completion time. This type of 'unplanned carryovers' represents a financial obligation to the company. If future years' capital budgets cannot be expanded to cover such obligations, future projects may be cancelled or postponed to fund the unplanned carryover. In this paper, we develop a methodology based on multi-attribute utility theory and chance-constrained programming to optimize portfolio selection subject to the constraints that the selected portfolio does not exceed the available budget and that the carryover of the unspent funds to the next fiscal year does not exceed predetermined limits. We use this technique to select an optimal project portfolio for Lockheed Martin Space Systems' infrastructure investments.

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Section: Related Literaturementioning

confidence: 99%

Optimal project portfolio selection with carryover constraint

Gurgur

2009

Journal of the Operational Research Society

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show abstract

“…The area of capital rationing is very large and diversified (e.g., see Naslund (1966), HiIIier (1972, and Hayes (1989)). Firms would not face a budgeting problem if the available funds were sufficient to cover all the acceptable projects.…”

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confidence: 99%