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12

IPL
2007

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The finite horizon investor problem with a budget constraint

13 years 4 months ago

The finite horizon investor problem with a budget constraint

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We study a model that incorporates a budget constraint in a decision making problem. Our goal is to maximize the expected wealth, where in each time period we can either stop the business getting our current wealth or to continue one additional time period and getting a random revenue. We show that when the wealth is scalar, the problem is NP-hard and we provide an FPTAS. However, when the wealth is vector with at least two components the problem cannot be approximated. Keywords. Approximation algorithms, Dynamic programming with a budget constraint.

Asaf Levin

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Added	15 Dec 2010
Updated	15 Dec 2010
Type	Journal
Year	2007
Where	IPL
Authors	Asaf Levin

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