Adjustable robustness for multi-attribute project portfolio selection

Research output: Contribution to journalArticleScientificpeer-review

Researchers

Research units

  • Technische Universität München

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.

Details

Original languageEnglish
Pages (from-to)931-946
Number of pages16
JournalEuropean Journal of Operational Research
Volume252
Issue number3
Publication statusPublished - 1 Aug 2016
MoE publication typeA1 Journal article-refereed

    Research areas

  • Multiple criteria analysis, Project portfolio selection, Resource allocation, Robustness

ID: 1880679