Research Reports from the Department of Operations

Authors

Roy B. Larson

Document Type

Report

Publication Date

6-9-1971

Abstract

This study develops a sequence of five progressively realistic computational models for optimizing corporate growth plans under risk, combining advancements in security evaluation and capital budgeting. The final model integrates investment, financing, and dividend policy alternatives to maximize firm market value using a mathematical programming approach. Supporting contributions include a review of corporate planning practices in U.S. firms, analysis of corporate objectives, and enhancements to Weingartner’s programming model for growth plan selection. The Sharpe index model for portfolio selection is extended to a multi-period risk framework, while novel algorithms, MIC(X) and PMIC(Xs, Xb), address mixed-integer convex nonlinear programming problems. These methods efficiently identify optimal solutions as parameters vary, ensuring computational feasibility. Validation was achieved by applying the models to a hypothetical firm, confirming their utility in decision-making under risk. This research advances methodologies for corporate growth planning, combining theoretical rigor with practical applicability.

Keywords

Operations research, Capital investments--Mathematical models, Business planning, Business enterprises--Finance--Mathematical models, Risk--Mathematical models, Decision making--Mathematical models, Programming (Mathematics), Algorithms

Publication Title

Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University

Issue

Technical memorandum no. 225

Rights

This work is in the public domain and may be freely downloaded for personal or academic use

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