Accession Number : AD0787131

Title :   A Stochastic Sequential Allocation Model.

Descriptive Note : Technical rept.,


Personal Author(s) : Derman,C. ; Lieberman,G. J. ; Ross,S. M.

Report Date : 16 SEP 1974

Pagination or Media Count : 28

Abstract : The following model is considered, and is described in terms of an investment problem. There are D units available for investment. During each of N time periods an opportunity to invest will occur with probability p. As soon as an opportunity presents itself one must decide how much of his available resources to invest. If an amount, y, is invested then an expected profit P(y) is obtained, where P is a nondecreasing continuous function. The amount y then becomes unavailable for future investment. The problem is to decide how much to invest at each opportunity so as to maximize total expected profit. (Modified author abstract)

Descriptors :   *Decision theory, *Investments, Sequential analysis, Stochastic processes, Allocations, Theorems

Subject Categories : Economics and Cost Analysis
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE