Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6895676 | European Journal of Operational Research | 2016 | 37 Pages |
Abstract
Robust Portfolio Modeling (RPM) supports multi-attribute project portfolio selection with uncertain project scores and decision maker preferences. By determining non-dominated portfolios for all possible realizations of uncertain parameters, decision recommendations produced by RPM may prove too conservative for real-life decision problems. We develop a methodology to reduce the set of possible realizations by limiting the number of project scores that may simultaneously deviate from their most likely value. By adjusting this limit, decision makers can choose desired levels of conservatism. Our approach also allows to capture dependencies among project scores as well as uncertainty in portfolio constraints.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Thomas Fliedner, Juuso Liesiƶ,