PROJECT PORTFOLIO SELECTION PROBLEMS: A REVIEW OF MODELS, UNCERTAINTY APPROACHES, SOLUTION TECHNIQUES, AND CASE STUDIES
نویسندگان
چکیده
منابع مشابه
Robust Portfolio Selection Problems Including Uncertainty Factors
This paper considers robust mean-variance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore...
متن کاملa multi- objective project portfolio selection and scheduling problem under uncertainty (case study: company of payafanavaran ferdowsi)
nowadays organization especially r&d; centers are dealing with project portfolio selection decisions under uncertainty. moreover in the most of the past research, project portfolio selection and scheduling are often considered to be independent problem. this leads to insufficient result in real world. so in this research simultaneous project portfolio selection and scheduling problem is modelin...
متن کاملA MULTI-OBJECTIVE OPTIMIZATION MODEL FOR PROJECT PORTFOLIO SELECTION CONSIDERING AGGREGATE COMPLEXITY: A CASE STUDY
Existing project selection models do not consider the complexity of projects as a selection criterion, while their complexity may prolong the project duration and even result in its failure. In addition, existing models cannot formulate the aggregate complexity of the selected projects. The aggregated complexity is not always equal to summation of complexity of projects because of possible syne...
متن کاملMean - Entropy Models for Uncertainty Portfolio Selection
Uncertainty theory is a branch of axiomatic mathematics based on normality, monotonicity, self-duality, countable subadditivity, and product measure axioms. In this paper, portfolio selection problems in uncertainty environment is solved using uncertainty programming methods. The concept of quadratic entropy is introduced in the model to measure risk of securities. Furthermore, a hybrid intelli...
متن کاملA Review of Perturbative Approaches for Robust Optimal Portfolio Problems
Only a few intertemporal optimal consumption and portfolio problems in partial and general equilibrium can be solved explicitly. It is illustrated in the paper that perturbation theory is a powerful tool for deriving approximate analytical solutions for the desired optimal policies in problems where general state dynamics are admitted and a preference for robustness is present. Starting from th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Technological and Economic Development of Economy
سال: 2019
ISSN: 2029-4913,2029-4921
DOI: 10.3846/tede.2019.11410