Preference programming for robust portfolio modeling and project selection

DOI10.1016/j.ejor.2005.12.041zbMath1123.90327OpenAlexW2128025816MaRDI QIDQ877643

Juuso Liesiö, Pekka Mild, Ahti A. Salo

Publication date: 3 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.12.041

zbMATH Keywords

robustnessproject selectionportfolio optimizationincomplete informationmultiple criteria decision analysisinvestment appraisal

Mathematics Subject Classification ID

Related Items (44)

Baseline value specification and sensitivity analysis in multiattribute project portfolio selection ⋮ Optimal strategies for selecting project portfolios using uncertain value estimates ⋮ Robustness analysis in multi-objective mathematical programming using Monte Carlo simulation ⋮ Portfolio decision analysis with a generalized balance approach ⋮ Adjustable robustness for multi-attribute project portfolio selection ⋮ Modeling synergies in multi-criteria supplier selection and order allocation: an application to commodity trading ⋮ Value of agreement in decision analysis: concept, measures and application ⋮ Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model ⋮ A MULTICRITERIA DECISION SUPPORT SYSTEM FOR COMPETENCE-DRIVEN PROJECT PORTFOLIO SELECTION ⋮ Robust portfolio decision analysis: an application to the energy research and development portfolio problem ⋮ Efficient allocation of resources to a portfolio of decision making units ⋮ SMAA-PO: project portfolio optimization problems based on stochastic multicriteria acceptability analysis ⋮ A clustering‐based review on project portfolio optimization methods ⋮ Rationalizable strategies in games with incomplete preferences ⋮ Parallel and comparative use of three multicriteria decision support methods in an environmental portfolio problem ⋮ Interactive portfolio selection involving multicriteria sorting models ⋮ Modeling project preferences in multiattribute portfolio decision analysis ⋮ A soft multi-criteria decision analysis model with application to the European Union enlargement ⋮ Scenario-based portfolio selection of investment projects with incomplete probability and utility information ⋮ Spatial multi-attribute decision analysis: axiomatic foundations and incomplete preference information ⋮ Robust portfolio modeling with incomplete cost information and project interdependencies ⋮ Expert judgments in the cost-effectiveness analysis of resource allocations: a case study in military planning ⋮ A new multi-objective algorithm for a project selection problem ⋮ Environmental corporate responsibility for investments evaluation: an alternative multi-objective programming model ⋮ Binary decision diagrams for generating and storing non-dominated project portfolios with interval-valued project scores ⋮ Scenario-based portfolio model for building robust and proactive strategies ⋮ Genetic algorithm-based multi-criteria project portfolio selection ⋮ Tail mean and related robust solution concepts ⋮ Multi-objective decision analysis for competence-oriented project portfolio selection ⋮ The binary knapsack problem with qualitative levels ⋮ Combining multiple criteria analysis, mathematical programming and Monte Carlo simulation to tackle uncertainty in research and development project portfolio selection: a case study from Greece ⋮ Measurable Multiattribute Value Functions for Portfolio Decision Analysis ⋮ Scale Dependence and Ranking Intervals in Additive Value Models Under Incomplete Preference Information ⋮ An interval-based evolutionary approach to portfolio optimization of new product development projects ⋮ Solving group multi-objective optimization problems by optimizing consensus through multi-criteria ordinal classification ⋮ An interactive algorithm for resource allocation with balance concerns ⋮ Decision programming for mixed-integer multi-stage optimization under uncertainty ⋮ Incomplete risk-preference information in portfolio decision analysis ⋮ Structuring resource allocation decisions: a framework for building multi-criteria portfolio models with area-grouped options ⋮ Portfolio selection under distributional uncertainty: a relative robust CVaR approach ⋮ A bicriteria approach identifying nondominated portfolios ⋮ Friction and Decision Rules in Portfolio Decision Analysis ⋮ A vague set based decision support approach for evaluating research funding programs ⋮ Preference programming with incomplete ordinal information

Uses Software

• ComPAIRS
• PRIME Decisions
• RICH Decisions
• VIP Analysis

Cites Work

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• Rank inclusion in criteria hierarchies
• Approximate articulation of preference and priority derivation
• Decision making with incomplete information
• A framework for sensitivity analysis in discrete multi-objective decision-making
• Tools for interactive multiattribute decision making with incompletely identified information
• Robust discrete optimization and its applications
• Preference programming through approximate ratio comparisons
• Multiobjective programming methods in the reserve selection problem.
• A survey and annotated bibliography of multiobjective combinatorial optimization
• Partial Information, Dominance, and Potential Optimality in Multiattribute Utility Theory
• Approximating Multiobjective Knapsack Problems
• Additive aggregation with variable interdependent parameters: the VIP analysis software
• Ranking with Partial Information: A Method and an Application
• Multicriteria integer programming: A (hybrid) dynamic programming recursive approach
• Preference Assessment by Imprecise Ratio Statements

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