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Mathematical Programming Models for Capital Budgeting—A Survey, Generalization, and Critique*

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  • Bernhard, Richard H.

Abstract

Until very recently, in most work on normative models for capital investment planning, it has been assumed that availability of capital is unconstrained; i.e., that money may be freely borrowed or lent at a single market rate of interest, and that no other constraints affect the proper choice of available productive investment projects to be undertaken. Since practical situations almost universally do involve such constraints, the traditional theories have, for the most part, been an unsatisfactory guide to achievement of optimal capital investment behavior in the real world.

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  • Bernhard, Richard H., 1969. "Mathematical Programming Models for Capital Budgeting—A Survey, Generalization, and Critique*," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(2), pages 111-158, June.
    • Handle: RePEc:cup:jfinqa:v:4:y:1969:i:02:p:111-158_01
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    1. Kyparisis, George J. & Gupta, Sushil K. & Ip, Chi-Ming, 1996. "Project selection with discounted returns and multiple constraints," European Journal of Operational Research, Elsevier, vol. 94(1), pages 87-96, October.
    2. Marc Bertonèche & Herwig Langohr, 1977. "Le choix des investissements en situation de rationnement du capital : comparaison des solutions fournies par différents modèles théoriques," Revue Économique, Programme National Persée, vol. 28(5), pages 730-764.
    3. Tobin, Roger L., 2002. "Relief period optimization under budget constraints," European Journal of Operational Research, Elsevier, vol. 139(1), pages 42-61, May.
    4. Gupta, Renu & Bandopadhyaya, Lakshmisree & Puri, M. C., 1996. "Ranking in quadratic integer programming problems," European Journal of Operational Research, Elsevier, vol. 95(1), pages 231-236, November.
    5. Gerald G. Brown & Robert F. Dell & Alexandra M. Newman, 2004. "Optimizing Military Capital Planning," Interfaces, INFORMS, vol. 34(6), pages 415-425, December.
    6. Feng Yang & Shiling Song & Wei Huang & Qiong Xia, 2015. "SMAA-PO: project portfolio optimization problems based on stochastic multicriteria acceptability analysis," Annals of Operations Research, Springer, vol. 233(1), pages 535-547, October.
    7. Bogdan Rębiasz, 2009. "A method for selecting an effective investment project portfolio," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 19(3), pages 95-117.
    8. Chateau, Jean-Pierre D., 1974. "La programmation déterministe du budget de capital : un modèle financier," L'Actualité Economique, Société Canadienne de Science Economique, vol. 50(3), pages 415-449, juillet.

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