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book part or chapter

The Stochastic Time-Constrained Net Present Value Problem

Wiesemann, Wolfram
•
Kuhn, Daniel  
Schwindt, Christoph
•
Zimmermann, Jürgen
2015
Handbook on Project Management and Scheduling Vol. 2

The successful management of capital-intensive development and engineering projects requires a careful timing of the involved cash in- and outflows. To this end, the project management literature proposes to schedule the project activities so as to maximize their net present value (NPV), that is, the sum of all discounted cash flows. Traditionally, the literature on NPV maximization ignores the uncertainty inherent in the activity durations and cash flows. In this survey, we argue that this uncertainty should be accounted for explicitly, and we investigate the computational challenges involved in doing so. We then review the two major strands of literature on stochastic NPV maximization. The first set of papers provides optimal solutions under the assumption that the activity durations follow independent exponential distributions. The second strand of literature allows for generic distributions but focuses on suboptimal solutions. We conclude with a list of research questions that we believe deserve further attention

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Type
book part or chapter
DOI
10.1007/978-3-319-05915-0_5
Author(s)
Wiesemann, Wolfram
Kuhn, Daniel  
Editors
Schwindt, Christoph
•
Zimmermann, Jürgen
Date Issued

2015

Publisher

Springer International Publishing

Published in
Handbook on Project Management and Scheduling Vol. 2
ISBN of the book

978-3-319-05914-3

Book part title

Part XII

Start page

753

End page

780

Series title/Series vol.

International Handbooks on Information Systems

Subjects

Net Present Value

•

Project Scheduling

•

Stochastic Scheduling

•

Uncertain Cash Flows

•

Uncertain Durations

Written at

EPFL

EPFL units
RAO  
Available on Infoscience
January 19, 2015
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/110367
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