We consider a continuous-time Markowitz type portfolio problem that consists of minimizing the discounted cost of a given cash-flow under the constraint of a restricted Capital at Risk. In a Black-Scholes setting, upper and lower bounds are obtained by means of simple analytical expressions that avoid the classical simulation approach for this type of problems. The problem is easily extended to...

This paper presents a discounted cash-flow approach to an inventory model for deteriorating items with the &#10two-parameter Weibull distribution. According to our proposed model, two shortages are considered: back-orders and lost-sales, &#10in which the back-order rate is a varying function of the time when the shortage happens. In general, the demand rate is a linear function of the selling p...

The Resource-constrained Project Scheduling Problem (Rcpsp), in which a schedule must obey the resource constraints and the precedence constraints between pairs of activities, is one of the most studied scheduling problems. An important variation of the problem (RcpspDc) is to find a schedule which maximises the net present value (discounted cash flow), when every activity has a given cash flow...

In this work, two models are proposed for electricity prices as energy commodity prices which in addition to mean-reverting properties have jumps and spikes, due to non-storability of electricity. The models are simulated using an Euler scheme, and then the Monte-Carlo method is used to estimate the expectation of the discounted cash-flow under historical probability, which is considered as the...

This paper presents a discounted cash-flow approach to an inventory model for deteriorating items with the two-parameter Weibull distribution. According to our proposed model, two shortages are considered: back-orders and lost-sales, in which the back-order rate is a varying function of the time when the shortage happens. In general, the demand rate is a linear function of the selling price...

Traditional project investment methods, such as the discounted cash flow (DCF) with a fixed static plan, are no longer sufficient to assist the corporate strategies of seizing opportunities and profitability. The option pricing formula includes a theoretical framework for pricing financial options, assuming that the risk in a financial hedged position is zero, if the option is adjusted continuo...

PT.PTM as one of major oil and gas company in Indonesia contributes highly to fulfilling demand Indonesia. However, with more than 40 years operation, PT. PTM is currently at its declining phase. Aggressive development projects have been planned sustain production. The latest project M-X new field developments. This Final Project intended assess the feasibility terms economic considering possib...

Recall that the American option has strike K and maturity T and gives the holder the right to exercise at any time in [0, T ]. The American option is not straightforward to price in the Monte Carlo framework that we have discussed. The reason is that the derivative cash flow function f(S, t) is not well defined. The problem is that we cannot compute the derivative cash flow until we know how th...

This article presents the resource-constrained project scheduling problem with discounted cash flow maximization criterion from perspective of a contractor. Cash flows are considered as contractor’s expenses related to execution activities and client’s payments (revenue contractor) after completion contractual stages. To solve problem, dedicated techniques generate solutions simulated annealing...

We describe a method to quantify the value of investments in software systems. For that, we adopted the classical risk-adjusted discounted cash flow model and geared it towards the field of information technology. This resulted in a scenariobased approach incorporating two IT-specific risks that can substantially influence IT-appraisals. They are requirements creep and time compression. To acco...