Solution of the Multi-Asset Finite Horizon Investment Renewal Problem
The multi-asset investment renewal problem is characterized by two types of costs: transaction costs incurred when any renewal takes place at a point in time, and investment costs which are associated with renewing individual assets. A discrete-time version of this renewal scheduling problem is formulated as an integer program that, due to its structure, admits to an efficient branch and bound approach to solution. Computational experience with the solution algorithm is presented.
Year of publication: |
1975
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Authors: | Trippi, Robert R. ; Khumawala, Basheer M. |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 21.1975, 10, p. 1156-1163
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Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Saved in:
Online Resource
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