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Quadratic Binary Programming with Application to Capital-Budgeting Problems

Publication ,  Journal Article
Laughhunn, DJ
Published in: Operations Research
June 1970

The purpose of this paper is to present an algorithm for solving the quadratic binary programming problem. Although a problem with this structure may arise in many situations, it is particularly common in capital budgeting when a decision-maker is confronted with a set of investment proposals from which he must select a portfolio. If returns of proposals are intercorrelated random variables and if the decision-maker uses as his criterion for selection the mean μ and variance σ of portfolio returns, his decision requires prior identification of the (μ, σ) efficient set. The algorithm developed to solve the problem and hence necessary to generate the efficient set is based on the concept of implicit enumeration recently introduced by Egon Balas for solution of the binary linear programming problem.

Duke Scholars

Published In

Operations Research

DOI

EISSN

1526-5463

ISSN

0030-364X

Publication Date

June 1970

Volume

18

Issue

3

Start / End Page

454 / 461

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Related Subject Headings

  • Operations Research
  • 1503 Business and Management
  • 0802 Computation Theory and Mathematics
  • 0102 Applied Mathematics
 

Citation

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Laughhunn, D. J. (1970). Quadratic Binary Programming with Application to Capital-Budgeting Problems. Operations Research, 18(3), 454–461. https://doi.org/10.1287/opre.18.3.454
Laughhunn, D. J. “Quadratic Binary Programming with Application to Capital-Budgeting Problems.” Operations Research 18, no. 3 (June 1970): 454–61. https://doi.org/10.1287/opre.18.3.454.
Laughhunn DJ. Quadratic Binary Programming with Application to Capital-Budgeting Problems. Operations Research. 1970 Jun;18(3):454–61.
Laughhunn, D. J. “Quadratic Binary Programming with Application to Capital-Budgeting Problems.” Operations Research, vol. 18, no. 3, Institute for Operations Research and the Management Sciences (INFORMS), June 1970, pp. 454–61. Crossref, doi:10.1287/opre.18.3.454.
Laughhunn DJ. Quadratic Binary Programming with Application to Capital-Budgeting Problems. Operations Research. Institute for Operations Research and the Management Sciences (INFORMS); 1970 Jun;18(3):454–461.

Published In

Operations Research

DOI

EISSN

1526-5463

ISSN

0030-364X

Publication Date

June 1970

Volume

18

Issue

3

Start / End Page

454 / 461

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Related Subject Headings

  • Operations Research
  • 1503 Business and Management
  • 0802 Computation Theory and Mathematics
  • 0102 Applied Mathematics