A maximin criterion for investment program selection

Ga Whitmore

Omega, 1975, vol. 3, issue 3, 283-292

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.

Date: 1975
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