A multistage stochastic programming approach for capital budgeting problems under uncertainty

作者：Beraldi Patrizia^*; Violi Antonio; De Simone Francesco; Costabile Massimo; Massabo Ivar; Russo Emilio

来源：IMA Journal of Management Mathematics, 2013, 24(1): 89-110.

DOI：10.1093/imaman/dps018

• risk management
• stochastic programming
• capital budgeting

This paper addresses the capital budgeting problem under uncertainty. In particular, we propose a multistage stochastic programming model aimed at selecting and managing a project portfolio. The dynamic uncertain evolution of each project value is modelled by a scenario tree over the planning horizon. The model allows the decision maker to revise decisions by decommitting from a given project if it shows a negative performance. Risk is explicitly assessed by defining a mean-risk objective function, where the conditional value at risk is used. A customized branch-and-bound method is also introduced for solving the proposed model. Extensive computational experiments have been carried out to validate the model effectiveness, also in comparison with other possible benchmark policies. The numerical results collected by solving randomly generated instances with the proposed branch-and-bound approach seems to be encouraging.

• 出版日期2013-1