Solution of the Multi-Asset Finite Horizon Investment Renewal Problem

Robert R. Trippi and Basheer M. Khumawala
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Robert R. Trippi: California State University, San Diego
Basheer M. Khumawala: University of North Carolina, Chapel Hill

Management Science, 1975, vol. 21, issue 10, 1156-1163

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.

Date: 1975
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