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A maximin criterion for investment program selection

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  • Whitmore, GA

Abstract

The paper introduces a new criterion for investment program selection. The criterion accommodates the usual financial and operating constraints which must be considered by the financial decision-maker in selecting an investment program for his firm. The criterion has the interesting property of being fail-safe in the sense that it guarantees optimal decision-making when capital markets perform according to the perfect economic model and conservative decision-making when markets do not function perfectly. A linear programming formulation is described for operationalizing the criterion and an example of its application is presented.

Suggested Citation

  • Whitmore, GA, 1975. "A maximin criterion for investment program selection," Omega, Elsevier, vol. 3(3), pages 283-292, June.
    • Handle: RePEc:eee:jomega:v:3:y:1975:i:3:p:283-292
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