engleski

Solving the problem of the internal rate of return maximization in the choice of independent investment projects

The problem of the internal rate of return maximization in order to choose a combination of independent projects is considered in this paper. Projects are divided into groups and from each group only one project may be selected. Also, the budget constraint for each time period must be satisfied. The problem is formulated as a non-linear mixed-integer mathematical programming problem with 0/1 variables. In order to solve the problem an algorithm is proposed. Computational results using the algorithm and some other software are obtained and compared.

portfolio of independent investment projects; internal rate of return; non-linear mixed-integer mathematical programming; iterative algrithm; computational results

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