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A Stochastic, Multistage, Multiproduct Investment Model
V. P. Sreedharan and H. H. Wein
SIAM Journal on Applied Mathematics
Vol. 15, No. 2 (Mar., 1967), pp. 347-358
Published by: Society for Industrial and Applied Mathematics
Stable URL: http://www.jstor.org/stable/2946287
Page Count: 12
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This paper presents a model for an n-stage multiproduct investment program. The problem of finding an "optimal" investment program is of great interest in industry. Given a probabilistic estimate of future product(s) demand, we seek an optimum within a set of alternatives open to us. By the optimum we mean the minimum-minimorum of the total expected costs. The minimal cost and precise timing of the n stages are obtained by solving a set of functional equations using a combination of the recursive technique of dynamic programming and numerical methods.
SIAM Journal on Applied Mathematics © 1967 Society for Industrial and Applied Mathematics