Paper Info
Title
Preference programming for robust portfolio modeling and project selection.
Abstract
In decision analysis, difficulties of obtaining complete information about model parameters make it advisable to seek robust solutions that perform reasonably well across the full range of feasible parameter values. In this paper, we develop the Robust Portfolio Modeling (RPM) methodology which extends Preference Programming methods into portfolio problems where a subset of project proposals are funded in view of multiple evaluation criteria. We also develop an algorithm for computing all non-dominated portfolios, subject to incomplete information about criterion weights and project-specific performance levels. Based on these portfolios, we propose a project-level index to convey (i) which projects are robust choices (in the sense that they would be recommended even if further information were to be obtained) and (ii) how continued activities in preference elicitation should be focused. The RPM methodology is illustrated with an application using real data on road pavement projects.
Year
DOI
Venue
2007
10.1016/j.ejor.2005.12.041
European Journal of Operational Research
Keywords
Field
DocType
Multiple criteria decision analysis,Project selection,Investment appraisal,Portfolio optimization,Incomplete information,Robustness
Decision analysis,Preference elicitation,Multiple-criteria decision analysis,Project portfolio management,Portfolio,Robustness (computer science),Portfolio optimization,Operations management,Mathematics,Complete information
Journal
Volume
Issue
ISSN
181
3
0377-2217
Citations 
PageRank 
References 
61
2.96
14
Authors
3
Name
Order
Citations
PageRank
Juuso Liesiö122513.80
Pekka Mild21416.34
Ahti Salo344534.14