engleski

On maximization of the internal rate of return in the choice of independent investment projects

In this paper we consider the problem of choosing a combination of independent projects for which internal rate of return is maximized. In this problem the projects are divided into groups and only one project may be selected from each group. In addition, budget constraint for each time period must be considered. The problem is formulated as a non-linear mixed-integer mathematical programming problem with 0/1 variables. In order to solve the problem an algorithm is suggested and tested on some examples.

portfolio of independent investment projects; internal rate of return; non-linear mixed-integer mathematical programming problem; iterative algorithm; approximate solution

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