Optimal strategies for selecting project portfolios using uncertain value estimates

DOI10.1016/j.ejor.2013.09.023zbMath1339.91110OpenAlexW2066918884MaRDI QIDQ297038

Eeva Vilkkumaa, Juuso Liesiö, Ahti A. Salo

Publication date: 24 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.09.023

zbMATH Keywords

value of informationdecision analysisportfolio selectionBayesian methods

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (7)

What causes post-decision disappointment? Estimating the contributions of systematic and selection biases ⋮ Scenario-based portfolio model for building robust and proactive strategies ⋮ Portfolio decision analysis: recent developments and future prospects ⋮ Scale Dependence and Ranking Intervals in Additive Value Models Under Incomplete Preference Information ⋮ Portfolio selection based on Bayesian theory ⋮ Project portfolio selection based on multi-project synergy ⋮ Friction and Decision Rules in Portfolio Decision Analysis

Uses Software

• BayesDA
• Bolstad
• ElemStatLearn

Cites Work

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• Maximum entropy autoregressive conditional heteroskedasticity model
• Scenario-based portfolio selection of investment projects with incomplete probability and utility information
• Portfolio decision analysis. Improved methods for resource allocation.
• Bayesian portfolio selection with multi-variate random variance models
• Preference programming for robust portfolio modeling and project selection
• Robust portfolio modeling with incomplete cost information and project interdependencies
• Overconfidence by Bayesian-Rational Agents
• The value of assessing weights in multi-criteria portfolio decision analysis
• An Integrated Decision-Making Approach for Improving European Air Traffic Management
• Introduction to Bayesian Statistics
• On Cash Equivalents and Information Evaluation in Decisions Under Uncertainty: Part I: Basic Theory
• Some Inequalities on Mill's Ratio and Related Functions

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