APPLYING MEAN-VARIANCE OPTIMIZATION TO NAVAL CONFIGURATION MANAGEMENT
This paper describes an application of mean-variance optimization theory to capital expenditure decisions for engineering assets under multivariate objectives and uncertain costs. By defining a domain-specific measure of capability increase against various mission types, we define measures for risk, return and correlation on potential upgrades, thus allowing standard portfolio optimization techniques from finance to be applied to asset management decisions. The results ensure that the risk-reward ratio for work allocation decisions is optimal. The work is aimed at capability management for Naval platforms, but the techniques have broader applicability in the field of engineering asset management and multi-criteria decision making.
Andrew Colin Roger Willett Peter Lambrineas
Centre for Engineering Asset Management, Queensland University of Technology, Brisbane, Queensland, Department of Accounting and Business Law, University of Otago, PO Box 56, Dunedin, New Zealand Defence Science Technology Organisation
国际会议
北京
英文
354-363
2008-10-27（万方平台首次上网日期，不代表论文的发表时间）