A Robust Optimization Approach to Capital Rationing and Capital Budgeting

REFERENCES

• Arbel , A. 1989 . “Approximate articulation of preference and priority derivation,” . European Journal of Operational Research , Vol. 43 : 317 – 326 . [CSA]
   Google Scholar
• Archer , N. P. and Ghasemzadeh , F. 1996 . Project Portfolio Selection Techniques: A Review and a Suggested Integration Approach , Innovation Research Working Group Working Paper No. 46 McMaster University .
   Google Scholar
• Archer , N. P. and Ghasemzadeh , F. 1999 . “An integrated framework for project portfolio selection,” . International Journal of Project Management , Vol. 17/4 : 207 – 216 . [CROSSREF] [CSA]
   Google Scholar
• Ben-Tal , A. and Nemirovski , A. 2000 . “Robust solutions of linear programming problems contaminated with uncertain data,” . Mathematical Programming , Vol. 88 : 411 – 424 . [CSA]
   Google Scholar
• Ben-Tal , A. and Nemirovski , A. 1999 . “Robust solutions of uncertain linear programs,” . Operations Research , Vol. 25 : 1 – 13 . [CSA]
   Google Scholar
• Ben-Tal , A. and Nemirovski , A. 1998 . “Robust convex optimization,” . Mathematics of Operations Research , Vol. 23 : 769 – 805 . [CSA]
   Google Scholar
• Bernhard , R. 1969 . “Mathematical programming models for capital budgeting—A survey, generalization, and critique,” . Journal of Financial and Quantitative Analysis , Vol. 4 : 111 – 158 . No. 2[CSA]
   Google Scholar
• Bertsimas , D. and Sim , M. 2001 . “The price of robustness,” . Operations Research , Vol. 52 : 35 – 53 . No. 1[CROSSREF] [CSA]
   Google Scholar
• Bertsimas , D. and Sim , M. 2003 . “Robust discrete optimization and network flows,” . Mathematical Programming Series B , Vol. 98 : 49 – 71 . [CROSSREF] [CSA]
   Google Scholar
• Carrizosa , E. , Conde , E. , Fernández , F. R. and Puerto , J. 1995 . “Multi-criteria analysis with partial information about the weighting coefficients,” . European Journal of Operational Research , Vol. 81 : 291 – 301 . [CROSSREF] [CSA]
   Google Scholar
• Chiu , C. and Park , C. 1994 . “Fuzzy cash flow analysis using present worth criterion,” . The Engineering Economist , Vol. 39 : 113 – 138 . No. 2[CSA]
   Google Scholar
• Chui-Yu , C. 1998 . “Capital budgeting decisions with fuzzy projects,” . The Engineering Economist , Vol. 43 : 125 – 150 . No. 2[CSA]
   Google Scholar
• Dantzig , G. B. 1955 . “Linear programming under uncertainty,” . Management Science , Vol. 1 : 197 – 206 . [CSA]
   Web of Science ®Google Scholar
• Dye , L. and Pennypacker , J. 1999 . Project Portfolio Management: Selecting and Prioritizing Projects for Competitive Advantage
   Google Scholar
• El-Ghaoui , L. and Lebret , H. 1997 . “Robust solutions to least-square problems to uncertain data matrices,” . SIAM J. Matrix Anal. , Vol. 18 : 1035 – 1064 . [CROSSREF] [CSA]
   Google Scholar
• El-Ghaoui , L. , Oustry , F. and Lebret , H. 1998 . “Robust solutions to uncertain semidefinite programs,” . SIAM J. Optim. , Vol. 9 : 33 – 52 . [CROSSREF] [CSA]
   Google Scholar
• Eum , Y. S. , Park , K. S. and Kim , S. H. 2001 . “Establishing dominance and potential optimality in multi-criteria analysis with imprecise weight and value,” . Computers & Operations Research , Vol. 28 : 397 – 409 . [CROSSREF] [CSA]
   Google Scholar
• Everett , H. 1963 . “Generalized Lagrange multiplier method for solving problems of optimal allocation of resources,” . Operations Research , Vol. 11 : 399 – 417 . No. 3[CSA]
   Google Scholar
• Golabi , K. , Kirkwood , C. W. and Sicherman , A. 1981 . “Selecting a portfolio of solar energy projects using multiattribute preference theory,” . Management Science , Vol. 27 : 174 – 189 . [CSA]
   Web of Science ®Google Scholar
• Goldfarb , D. and Iyengar , G. 2002 . Robust Portfolio Selection Problems , Columbia University CORC Technical Report TR-2002-03
   Google Scholar
• Gunther , P. 1955 . “Use of linear programming in capital budgeting,” . Journal of the Operations Research Society of America , Vol. 3 : 219 – 224 . No. 2[CSA]
   Google Scholar
• Kim , S. and Han , C. 2000 . “Establishing dominance between alternatives with incomplete information in a hierarchically structured attribute tree,” . European Journal of Operational Research , Vol. 122 : 79 – 90 . [CROSSREF] [CSA]
   Google Scholar
• Kimms , A. 2001 . Mathematical Programming and Financial Objectives for Scheduling Projects , Norwell, MA : Kluwer Academic Publishers .
   Google Scholar
• Kleinmuntz , C. E. and Kleinmuntz , D. N. 1999 . “Strategic approaches for allocating capital in healthcare organizations,” . Healthcare Financial Management , Vol. 53 : 52 – 58 . [PUBMED] [INFOTRIEVE] [CSA]
   Google Scholar
• Kleinmuntz , C. and Kleinmuntz , D. 2001 . Multiobjective Capital Budgeting in not-for-profit Hospitals and Healthcare Systems, Working paper , Department of Business Administration, University of Illinois . Downloadable at https://netfiles.uiuc.edu/dnk/www/MultiCapBudgDec01.PDF
   Google Scholar
• Korhonen , A. 2001 . “Strategic financial management in a multinational financial conglomerate: A multiple goal stochastic programming approach,” . European Journal of Operations Research , Vol. 128 : 418 – 434 . [CROSSREF] [CSA]
   Google Scholar
• Kouvelis , P. and Yu , G. 1997 . Robust Discrete Optimization and Its Applications , Kluwer Academic Publishers .
   Google Scholar
• Liesiö , J. , Mild , P. and Salo , A. 2005 . Preference Programming for Robust Portfolio Modeling and Project Selection http://www.sal.hut.fi/Publications/pdf-files/mlie05.pdf
   Google Scholar
• Lorie , J. and Savage , L. 1955 . “Three problems in rationing capital,” . The Journal of Business , Vol. 28 : 229 – 239 . No. 4[CROSSREF] [CSA]
   Web of Science ®Google Scholar
• Luenberger , D. G. 1998 . Investment Science , Oxford University Press .
   Google Scholar
• Mamer , J. and Shogan , A. 1987 . “A constrained capital budgeting problem with applications to repair kit selection,” . Management Science , Vol. 33 : 800 – 806 . No. 6[CSA]
   Google Scholar
• Markowitz , H. and Manne , A. 1957 . “On the solution of discrete programming problems,” . Econometrica , Vol. 25 : 84 – 110 . [CSA]
   Google Scholar
• Mármol , A. M. , Puerto , J. and Fernández , F. R. 1998 . “The use of partial information on weights in multicriteria decision problems,” . Journal of Multi-Criteria Decision Analysis , Vol. 7 : 322 – 329 . [CROSSREF] [CSA]
   Google Scholar
• Marthello , S. and Toth , P. 1990 . Knapsack Problems , John Wiley & Sons .
   Google Scholar
• Meier , H. , Christofides , N. and Salkin , G. 2001 . “Capital budgeting under uncertainty—An integrated approach using contingent claims analysis and integer programming,” . Operations Research , Vol. 49 : 196 – 206 . No. 2[CROSSREF] [CSA]
   Google Scholar
• Park , C. and Sharp-Bette , G. 1990 . Advanced Engineering Economics , John Wiley & Sons .
   Google Scholar
• Salo , A. and Hämäläinen , R. P. 1992 . “Preference assessment by imprecise ratio statements,” . Operations Research , Vol. 40 : 1053 – 1061 . [CSA]
   Google Scholar
• Salo , A. and Hämäläinen , R. P. 1995 . “Preference programming through approximate ratio comparisons,” . European Journal of Operational Research , Vol. 82 : 458 – 475 . [CROSSREF] [CSA]
   Google Scholar
• Salo , A. and Hämäläinen , R. P. 2001 . “Preference ratios in multiattribute evaluation (PRIME)—Elicitation and decision procedures under incomplete information,” . IEEE Transactions on Systems, Man and Cybernetics Part A , Vol. 31 : 524 – 532 . [CROSSREF] [CSA]
   Google Scholar
• Salo , A. and Hämäläinen , R. P. 2001 . Preference Programming. Working paper , Helsinki University of Technology . http://www.sal.hut.fi/Publications/pdf-files/msal03b.pdf
   Google Scholar
• Salo , A. and Punkka , A. 2005 . “Rank inclusion in criteria hierarchies,” . European Journal of Operational Research , Vol. 163 : 338 – 356 . [CSA]
   Google Scholar
• Sharpe , P. and Keelin , T. 1998 . “How SmithKline Beecham makes better resource-allocation decisions,” . Harvard Business Review , March–April : 4 – 10 . [CSA]
   Google Scholar
• Soyster , A. L. 1973 . “Convex programming with set-inclusive constraints and applications to inexact linear programming,” . Operations Research , Vol. 21 : 1154 – 1157 . [CSA]
   Google Scholar
• Stummer , C. and Heidenberger , K. 2003 . “Interactive R&D portfolio analysis with project interdependencies and time profiles of multiple objectives,” . IEEE Transactions on Engineering Management , Vol. 50 : 175 – 183 . [CROSSREF] [CSA]
   Web of Science ®Google Scholar
• Weber , M. 1987 . “Decision making with incomplete information,” . European Journal of Operational Research , Vol. 28 : 44 – 57 . [CROSSREF] [CSA]
   Google Scholar
• Weingartner , H. 1966 . “Capital budgeting of interrelated projects: Survey and synthesis,” . Management Science , Vol. 12 : 485 – 516 . No. 7[CSA]
   Google Scholar
• Weingartner , H. 1977 . “Capital rationing: N authors in search of a plot,” . Journal of Finance , Vol. 32 : 1403 – 1431 . No. 5[CSA]
   Google Scholar
• Zadeh , L. A. 1965 . “Fuzzy sets,” . Information and Control , Vol. 8 : 338 – 353 . [CROSSREF] [CSA]
   Google Scholar
• Zimmermann , H. J. , Zadeh , L. A. and Gains , B. R. 1984 . “Fuzzy sets and decision analysis,” . TIMS/Studies in the Management Sciences , Vol. 20 : 109 – 167 . [CSA]
   Google Scholar