Application of Multi-Objective Linear Programming in Investment Portfolio and Capital Rationing Problems with Fuzzy Projects

• Main Authors: Ju-mei Yu, 余如梅
• Other Authors: Chui-Yu Chiu
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/68302904072944887966

碩士 === 國立臺北科技大學 === 生產系統工程與管理研究所 === 90 === Capital budgeting is the problem of how to choose investment projects, under the limited resource which results in the maximum enterprise benefit. Conventional capital budgeting using linear programming techniques deals with deterministic models in which all the investment proposals are modeled as exact numbers. However, in practice, future investment projects involve much imprecise information. The probabilistic view of capital budgeting may not offer practical solution to many real world capital budgeting problems under uncertainty. In this situation, management would rely on expert knowledge which involves vague and fuzzy information. Thus, this research tries to integrate fuzzy theory with multi-objective linear programming for solving capital budgeting problems. In this research, we propose a capital budgeting model under uncertainty in which cash flow and discount rate information are specified as rectangular, triangular and trapezoid fuzzy numbers. We estimate the fuzzy present worth of each fuzzy project cash flow using the fuzzy operations. To select fuzzy projects under limited capital budget, we proposed a method which transformed the fuzzy objective function to multi-objective linear programming functions. Then the problem is solved as a multi-objective 0-1 integral programming. A numerical example is used to compare the results of the capital budget problem using the proposed method with conventional dominance methods.