scholarly journals Discrete Analysis of Portfolio Selection with Optimal Stopping Time

2009 ◽  
Vol 2009 ◽  
pp. 1-9
Author(s):  
Jianfeng Liang
Keyword(s):  
Linear Programming ◽  
Portfolio Selection ◽  
Integer Linear Programming ◽  
Optimal Stopping ◽  
Programming Model ◽  
Stopping Time ◽  
Integer Linear Programming Model ◽  
Numerical Example ◽  
Expected Time ◽  
Selection Policy

Most of the investments in practice are carried out without certain horizons. There are many factors to drive investment to a stop. In this paper, we consider a portfolio selection policy with market-related stopping time. Particularly, we assume that the investor exits the market once his wealth reaches a given investment target or falls below a bankruptcy threshold. Our objective is to minimize the expected time when the investment target is obtained, at the same time, we guarantee the probability that bankruptcy happens is no larger than a given level. We formulate the problem as a mix integer linear programming model and make analysis of the model by using a numerical example.

An Integer Linear Programming Model for Project Portfolio Selection in a Community

2011 ◽  
Vol 4 ◽  
pp. 67-74
Author(s):  
C.O. Anyaeche ◽  
R.A. Okwara
Keyword(s):  
Linear Programming ◽  
Portfolio Selection ◽  
Integer Linear Programming ◽  
Programming Model ◽  
Project Selection ◽  
Linear Programming Model ◽  
Project Portfolio ◽  
Integer Linear Programming Model ◽  
Total Cost ◽  
The Right

Project portfolio selection involves decision making and it plays a crucial role in any organization. Therefore selecting not just the right projects but also the right mix of projects for the portfolio is considered as one of the most important tasks for organisations to ensure the achievement of the corporate strategy within limited resources and capabilities of the organization. Prioritizing and selecting optimal project portfolio can be very challenging especially with a large number of projects with multiple constraints and interdependences. In an ideal world with unlimited budget the project selection process would be very straightforward. However, this is not the case in life situations. In this work, an attempt is made to address this challenge. An integer linear programming model for project selection was developed and applied in a selected organization in Nigeria. The model seeks to optimize the mix of the projects to be undertaken while keeping the total cost and project interdependency as constraints. The analysis of the results showed that a total of 11 projects out of 16 were eligible for selection in the period under review. The total cost of the selected project was 92,840,000 Naira, which was about 90% of the total budget. Ordinarily, apart from not prioritizing and obtaining an optimal project mix, the community would have spread its entire resources on the 16 projects with some of them being abandoned later. The model can also be used to plan an optimal mix of project portfolio for a future date within the limitations of a given set of constraints and interdependence.

scholarly journals Equivalent Transformation of Nonlinear Constraints to Linear Constraints in Petri Nets

2015 ◽  
Vol 2015 ◽  
pp. 1-11
Author(s):  
YuFeng Chen ◽  
Abdulrahman Al-Ahmari ◽  
Chi Tin Hon ◽  
NaiQi Wu
Keyword(s):  
Linear Programming ◽  
Petri Nets ◽  
Integer Linear Programming ◽  
Programming Model ◽  
Linear Constraints ◽  
Linear Programming Model ◽  
Equivalent Transformation ◽  
Nonlinear Constraints ◽  
Nonlinear Constraint ◽  
Integer Linear Programming Model

This paper focuses on the enforcement of nonlinear constraints in Petri nets. An integer linear programming model is formulated to transform a nonlinear constraint to a minimal number of conjunctive linear constraints that have the same admissible marking space as the nonlinear one does in Petri nets. The obtained linear constraints can be easily enforced to be satisfied by a set of control places with a place invariant based method. The control places make up a supervisor that can enforce the given nonlinear constraint. For a case that the admissible marking space decided by a nonlinear constraint is nonconvex, another integer linear programming model is developed to obtain a minimal number of constraints whose disjunctions are equivalent to the nonlinear constraint with respect to the reachable markings. Finally, a number of examples are provided to demonstrate the proposed approach.

Sign in / Sign up

Export Citation Format

Share Document