Capital rationing problems under uncertainty and risk |
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Authors: | Patrizia Beraldi Maria Elena Bruni Antonio Violi |
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Institution: | 1.Dipartimento di Elettronica, Informatica, Sistemistica,Università della Calabria,Rende (Cosenza),Italy |
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Abstract: | Capital rationing is a major problem in managerial decision making. The classical mathematical formulation of the problem
relies on a multi-dimensional knapsack model with known input parameters. Since capital rationing is carried out in conditions
where uncertainty is the rule rather than the exception, the hypothesis of deterministic data limits the applicability of
deterministic formulations in real settings. This paper proposes a stochastic version of the capital rationing problem which
explicitly accounts for uncertainty. In particular, a mathematical formulation is provided in the framework of stochastic
programming with joint probabilistic constraints and a novel solution approach is proposed. The basic model is also extended
to include specific risk measures. Preliminary computational results are presented and discussed. |
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