A Stochastic Capital Rationing Model
作者:
KiraD. S.,
KusyM. I.,
期刊:
Journal of the Operational Research Society
(Taylor Available online 1990)
卷期:
Volume 41,
issue 9
页码: 853-863
ISSN:0160-5682
年代: 1990
DOI:10.1057/jors.1990.123
出版商: Taylor&Francis
关键词: capital budget;stochastic linear programme;uncertainty
数据来源: Taylor
摘要:
AbstractThis paper addresses the issue of optimal project selection for capital expenditures assuming uncertain budgetary allocations. A critical review of the historical development of capital budgeting models indicates two major deficiencies: (i) deterministic models ignore the uncertain nature of capital budgeting problems; and (ii) those models which do incorporate the concept of uncertainty have serious computational problems when applied to larger problems. A stochastic capital rationing model (SCRM) is proposed which makes use of recent developments in stochastic programmes with recourse. This model remains computationally tractable despite the explicit incorporation of uncertainty and the application of theoretically sound penalties for constraint violations. Two problems are introduced which illustrate the model's superiority over comparable deterministic formulations. By varying both the probability distributions of the stochastic constraints and the borrowing rates, it was possible to identify the impact these factors have on project selections.
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