Investment scheduling for maximal net present value of dividend with reinvestment allowed

Abstract

This thesis deals with an investment scheduling problem for maximal net present value of dividend with reinvestment allowed, where each investment has certain capital requirement and deterministic positive profit. Deterministic profits are assumed to occur at completion of each investment and are divided into two parts, including dividend and reinvestment, at each predetermined reinvestment time point. The objective is to make optimal scheduling of investments over a fixed planning horizon which maximizes total sum of the net present values of dividends subject to investment precedence relations and capital limits but with reinvestment allowed. The proposed investment scheduling problem is transformed to a kind of parallel machine scheduling problem and formulated as an Integer Programming which is proven to be NP-complete in this thesis. Thereupon, a depth-first branch-and-bound algorithm is derived. To test the effectiveness and efficiency of the proposed algorithm, computational experiments are performed with some numerical instances. The experimental results show that the algorithm solves the problem relatively faster than the commercial software package (CPLEX 8.1), and optimally solves instances with up to 30 investments within a reasonable time limit.