Optimal Mixed Project and Security Portfolio Selection under Reinvestment Strategy

Abstract

Assuming that all projects commence at the beginning of the investment horizon，and have different durations. The profit generated by the completed projects can be reinvested in the other projects, the capital surplus can be used for securities investment and adjustment after project investment. To help the investors obtain higher investment return than traditional pure project selection method, we transform the proposed bi-objective function into a single objective function, and propose a mixed project and security selection and adjustment model. Then provide a stochastic simulation based solution method to solve the problem.