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

VanKuiken, J C; Jusko, M J; Samsa, M E

doi:10.2172/943428

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

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Abstract

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.

Authors:: VanKuiken, J C; Jusko, M J; Samsa, M E

Publication Date:: Tue Sep 30 00:00:00 EDT 2008

Research Org.:: Argonne National Lab. (ANL), Argonne, IL (United States)

Sponsoring Org.:: DHS

OSTI Identifier:: 943428

Report Number(s):: ANL/DIS-08/5
TRN: US200902%%182

DOE Contract Number:: DE-AC02-06CH11357

Resource Type:: Technical Report

Country of Publication:: United States

Language:: ENGLISH

Subject:: 97 MATHEMATICS AND COMPUTING; 99 GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE; O CODES; DOCUMENTATION; DECISION MAKING; MANUALS; SENSITIVITY

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                    VanKuiken, J C, Jusko, M J, Samsa, M E, and Decision and Information Sciences. OPTUM : Optimum Portfolio Tool for Utility Maximization documentation and user's guide..  United States: N. p., 2008. 
        Web.  doi:10.2172/943428.

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                    VanKuiken, J C, Jusko, M J, Samsa, M E, & Decision and Information Sciences. OPTUM : Optimum Portfolio Tool for Utility Maximization documentation and user's guide..  United States.  https://doi.org/10.2172/943428

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                    VanKuiken, J C, Jusko, M J, Samsa, M E, and Decision and Information Sciences. 2008.  
        "OPTUM : Optimum Portfolio Tool for Utility Maximization documentation and user's guide.".  United States.  https://doi.org/10.2172/943428.  https://www.osti.gov/servlets/purl/943428.

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@article{osti_943428,

  title        = {OPTUM : Optimum Portfolio Tool for Utility Maximization documentation and user's guide.},

  author       = {VanKuiken, J C and Jusko, M J and Samsa, M E and Decision and Information Sciences},

  abstractNote = {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.},

  doi          = {10.2172/943428},

  url          = {https://www.osti.gov/biblio/943428},
  journal      = {},
number       = ,

  volume       = ,

  place        = {United States},

  year         = {Tue Sep 30 00:00:00 EDT 2008},

  month        = {Tue Sep 30 00:00:00 EDT 2008}

}

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