OPTUM : Optimum Portfolio Tool for Utility Maximization documentation and user's guide.

VanKuiken, J. C. ; Jusko, M. J. ; Samsa, M. E. ; Sciences, Decision and Information

Argonne National Laboratory

关键词: Decision Making;    99 General And Miscellaneous//Mathematics, Computing, And Information Science;    Manuals;    Documentation;    Sensitivity;   

DOI  :  10.2172/943428
RP-ID  :  ANL/DIS-08/5
RP-ID  :  DE-AC02-06CH11357
RP-ID  :  943428

美国|其它

来源: UNT Digital Library

【 摘 要 】

The Optimum Portfolio Tool for Utility Maximization (OPTUM) is a versatile and powerful tool for selecting, optimizing, and analyzing portfolios. The software introduces a compact interface that facilitates problem definition, complex constraint specification, and portfolio analysis. The tool allows simple comparisons between user-preferred choices and optimized selections. OPTUM uses a portable, efficient, mixed-integer optimization engine (lp-solve) to derive the optimal mix of projects that satisfies the constraints and maximizes the total portfolio utility. OPTUM provides advanced features, such as convenient menus for specifying conditional constraints and specialized graphical displays of the optimal frontier and alternative solutions to assist in sensitivity visualization. OPTUM can be readily applied to other nonportfolio, resource-constrained optimization problems.