Details of Grant 

EPSRC Reference:	GR/R74499/01
Title:	ROPA: Valuation of strategic plans by real options and stochastic programming.
Principal Investigator:	Mitra, Professor G
Other Investigators:
Researcher Co-Investigators:
Project Partners:
Department:	Mathematical Sciences
Organisation:	Brunel University London
Scheme:	ROPA
Starts:	01 April 2003	Ends:	31 March 2005	Value (£):	103,506
EPSRC Research Topic Classifications:	Mathematical Aspects of OR
EPSRC Industrial Sector Classifications:	Financial Services No relevance to Underpinning Sectors
Related Grants:
Panel History:
Summary on Grant Application Form
We propose to develop generic stochastic optimisation models which simultaneously capture the risk and return behaviours investment decisions. Problem instances taken from the domain of capacity planning investments in the supply chain and financ portfolio planning decisions will be considered to substantiate the unified modelling approach taken by us. In particular methods scenario generation will be investigated in depth and the scope of applying importance sampling methods techniques will evaluated. The solution of the resulting large scale optimisation models is challenging; and we will develop serial as well as paral algorithms solving these models. Finally, simulation experiments will be carried out such that results validation will be a undertaken in addition to scenario generation.
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Organisation Website:	http://www.brunel.ac.uk