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Solution of the Multi-Asset Finite Horizon Investment Renewal Problem

Author

Listed:
  • Robert R. Trippi

    (California State University, San Diego)

  • Basheer M. Khumawala

    (University of North Carolina, Chapel Hill)

Abstract

The multi-asset investment renewal problem is characterized by two types of costs: transaction costs incurred when any renewal takes place at a point in time, and investment costs which are associated with renewing individual assets. A discrete-time version of this renewal scheduling problem is formulated as an integer program that, due to its structure, admits to an efficient branch and bound approach to solution. Computational experience with the solution algorithm is presented.

Suggested Citation

  • Robert R. Trippi & Basheer M. Khumawala, 1975. "Solution of the Multi-Asset Finite Horizon Investment Renewal Problem," Management Science, INFORMS, vol. 21(10), pages 1156-1163, June.
    • Handle: RePEc:inm:ormnsc:v:21:y:1975:i:10:p:1156-1163
    DOI: 10.1287/mnsc.21.10.1156
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    Cited by:

    1. Petchrompo, Sanyapong & Parlikad, Ajith Kumar, 2019. "A review of asset management literature on multi-asset systems," Reliability Engineering and System Safety, Elsevier, vol. 181(C), pages 181-201.

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