Linear programming selection of internal financial laws and a knapsack problem |
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| Authors: | A Basso B Viscolani |
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| Affiliation: | (1) Dipartimento di Matematica Applicata “B. de Finetti”, Università di Trieste, Piazzale Europa 1, 34127 Trieste, Italy. E-mail: antonellab@econ.univ.trieste.it, IT;(2) Dipartimento di Matematica Pura ed Applicata, Università di Padova, Via Belzoni 7, 35131 Padova, Italy. E-mail: viscolani@math.unipd.it, IT |
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| Abstract: | We formulate and solve explicitly a linear programming problem that arises from the problem of choosing an internal financial
law of a given financial project such that the associated discount vector maximizes a linear objective function. If the original
problem has optimal solutions, then it is equivalent to a knapsack problem. We obtain its basic optimal solutions in closed
form. After considering the special case of nonnegative preference directions, we also obtain a new characterization of the
existence of internal financial laws.
Received: October 1997 / Accepted: October 1999 |
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