Optimal Sequential Investment Decisions Under Conditions of Uncertainty

DOI10.1287/MNSC.29.1.118MaRDI QIDQ4747859zbMATH OpenOpenAlexFDO

Authors Gregory P. Prastacos

Publication date 1983

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.29.1.118

zbMATH Keywords

conditions of uncertaintyfinancelong-lasting investmentsoptimal investment strategiesportfolio theorysequential investment behavior

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Dynamic programming (90C39) Applications of mathematical programming (90C90)

Cited in

(10)

• Dynamic project selection and funding under risk: A decision tree based MILP approach
• On the Bellman's principle of optimality
• The secretary problem with multiple job vacancies and batch candidate arrivals
• Decision-making, risk and corporate governance: new dynamic models/algorithms and optimization for bankruptcy decisions
• Markov decision problems where means bound variances
• Lending decisions with limits on capital available: the polygamous marriage problem
• Heuristic policies for stochastic knapsack problem with time-varying random demand
• Asset selling under debt obligations
• Logarithmic regret in the dynamic and stochastic knapsack problem with equal rewards
• On Optimal Ammunition Usage When Hunting Fleeing Targets

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