Abstract
Let us consider the case of an investment fund that has to evaluate different investment alternatives. The fund has to invest 250 million euros into investment projects with lifetimes shorter than 25 years, with a target internal rate of return of x%. Let us assume that every investment alternative under evaluation is infinitely divisible since the fund can always decide how much of any single investment to subscribe. In any case, let us assume that all the available capital has to be invested among three alternatives. Optimal proportion of the available capital should then be determined.
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© 2016 Enrico Edoli, Stefano Fiorenzani and Tiziano Vargiolu
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Edoli, E., Fiorenzani, S., Vargiolu, T. (2016). Cases on Static Optimization. In: Optimization Methods for Gas and Power Markets. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137412973_3
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DOI: https://doi.org/10.1057/9781137412973_3
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-56815-4
Online ISBN: 978-1-137-41297-3
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