Portfolios maximizing value

A portfolio manager has 100,000 to invest in a list of 20 stocks. She estimates the return from stock i over the next year as r(i), so that if x(i) dollars are invested in stock i at the start of the year, the end of year value is [1 + r(/)] jt(/). Write an MILP model that determines the amounts to invest in each stock in order to maximize end-of-year portfolio value under the following investment policy no more than 20,000 can be invested in any stock, and if a stock is purchased at all, at least 5000 worth must be purchased. 

Portfolio and Project Planning and Management Maximizing Portfolio Value... 

Portfolio value is maximized by appropriately prioritizing the projects within the portfolio based on the future potential financial value of each project multiplied by its probability of success. The future value of each development project is based on a calculation of its net present value (NPV). In this calculation, the anticipated financial return from the project is compared with that of an alternative investment of an equivalent amount of capital (8). The general equation for calculating NPV is... 

Holistic approach to avoid, reduce, or control complexity in all relevant fields of enterprises to maximize the customers benefit that arises from it. Regarded fields are, for example, product portfolios (the so-caUed Variant Management), production, value chain, or organization (Schuh 2005). 

In addition to the multi-criteria representation of the problem, relationships between projects, companies, and products should be taken into account. In such assessments, premium cost and maximal insured value can be found using Multi-Objective Decision-Making (MODM) methods and solving as a multi-criteria optimization problem (Figure 5.2) the same criteria can be reused for insurance portfolio optimization, and in the case of discrete alternatives (premium cost or insured value), the Multi-Attribute Decision-Making (MADM) approach can be used. Different risk assessment approaches can be adapted for MCDM for example, product lifecycle can be presented in detail and/or insured accidents can be presented implicitly along with business opportunities and other benefits. 

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