Capital rationing problems under uncertainty and risk

DOI10.1007/S10589-010-9390-YMaRDI QIDQ429488zbMATH OpenOpenAlexFDO

Authors Patrizia Beraldi, Maria Elena Bruni, Antonio Violi

Publication date 19 June 2012

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10589-010-9390-y

zbMATH Keywords

risk managementstochastic programmingbranch and boundcapital rationing

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57)

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Cites work

• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• A branch and bound method for stochastic integer problems under probabilistic constraints
• An exact approach for solving integer problems under probabilistic constraints with random technology matrix
• An exact solution approach for portfolio optimization problems under stochastic and integer constraints
• An integer programming approach for linear programs with probabilistic constraints
• Capital Budgeting Under Uncertainty—An Integrated Approach Using Contingent Claims Analysis and Integer Programming
• Capital rationing problems under uncertainty and risk
• Coherent measures of risk
• Convexity and decomposition of mean-risk stochastic programs
• Deterministic approximations of probability inequalities
• Dual Stochastic Dominance and Related Mean-Risk Models
• Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
• On consistency of stochastic dominance and mean-semideviation models
• Optimal project selection when borrowing and lending rates differ
• Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
• Sample average approximation method for chance constrained programming: Theory and applications
• Stochastic Dominance and Expected Utility: Survey and Analysis
• The Probabilistic Set-Covering Problem

Cited in

(16)

• Capital Accumulation and Uncertain Lifetimes with Adverse Selection
• Fuzzy Capital Rationing Models
• scientific article; zbMATH DE number 4025108 (Why is no real title available?)
• Risk assessment and optimal scheduling of serial projects
• Capital rationing problems under uncertainty and risk
• scientific article; zbMATH DE number 3912047 (Why is no real title available?)
• A multistage stochastic programming approach for capital budgeting problems under uncertainty
• scientific article; zbMATH DE number 5831366 (Why is no real title available?)
• On a capital allocation by minimization of some risk indicators
• Cutting and packing problems under uncertainty: literature review and classification framework
• Sustainability when capital management has stochastic consequences
• Chance-Constrained Binary Packing Problems
• The risk-averse traveling repairman problem with profits
• Water distribution networks design under uncertainty
• Capital requirements and optimal investment with solvency probability constraints
• The mixed capacitated general routing problem under uncertainty

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Uses Software

• CPLEX
• AIMMS

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