A mixed projects and securities portfolio selection and adjustment model

摘要

There exists the situation where a company may choose to invest the available capital in several large projects but may still leave a great amount of capital which is not enough for any other large project. To make full use of the available capital and get the maximum investment return, the company can not only invest in several large projects, but also make use of the remaining capital to invest in those securities with good liquidity. Hence, this paper discusses a mixed projects and securities selection and adjustment problem. And during the long investment horizon of the projects, the securities portfolio needs to be adjusted to match with the projects' outlays and the company's operating cash inflow, so as to achieve the maximum investment return and fully use the capital. To illustrate the idea and the application of our proposed model, a numerical example will be given.