نتایج جستجو برای: project portfolio selection under interval

تعداد نتایج: 1728884  

A Rebai B Aouni N Mansour

In the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. These objectives are conflicting and incommensurable. Moreover, the objectives can be imprecise. Generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. The imprecise Goal Program...

2012
Eeva Vilkkumaa Juuso Liesiö Ahti Salo

Practically all firms pursue goals by selecting a portfolio of courses of action that consume resources. Yet, due to uncertainties such as unforeseen market developments, it may not be possible to know in advance how much value these actions yield. Thus, the selection must be based on uncertain ex ante estimates about the future values of the actions. In this paper we show that the explicit Bay...

Journal: :Journal of Machine Learning Research 2016
Bin Li Doyen Sahoo Steven C. H. Hoi

On-line portfolio selection is a practical financial engineering problem, which aims to sequentially allocate capital among a set of assets in order to maximize long-term return. In recent years, a variety of machine learning algorithms have been proposed to address this challenging problem, but no comprehensive open-source toolbox has been released for various reasons. This article presents th...

2012
Mohsen Akbarpoor Shirazi Reza Jahanbin

Selecting the “best” project portfolio out of a given set of investment proposals is a common and often critical management issue. Decision-makers must regularly consider multiple objectives and often have little a priori preference information available to them. In this paper a new approach to prioritize project portfolio in an efficient and reliable way is presented. It is based on strategic ...

Journal: :J. Applied Mathematics 2014
Farshad Faezy Razi Abbas Toloie Eshlaghy Jamshid Nazemi Mahmood Alborzi Alireza Pourebrahimi

The problemof selection and the best option are themain subject of operation research science in decision-making theory. Selection is a process that scrutinizes and investigates several quantitative and qualitative, and most often incompatible, factors. One of the most fundamental management issues in multicriteria selection literature is the multicriteria adoption of the projects portfolio. In...

In this research, we proposed a new metaheuristic technique for stock portfolio multi-objective optimization employing the combination of Strength Pareto Evolutionary Algorithm (SPEA), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Arbitrage Pricing Theory (APT). To generate the more precise model, ANFIS has implemented to envisage long-term movement values of the Tehran Stock Exchange (TSE)...

2016
Tony Yu-Ju Tu

How is it possible to derive the superior IT investment portfolio? One main identified research objective in IT portfolio management (ITPM) is to manage a set of IT assets, similar to manage a financial portfolio to attain the superior return and risk. Among various IT assets, the investment in IT project is particularly critical. In finance, the concept of portfolio selectivity generally refer...

This paper investigates the problem of selecting and scheduling a set of projects among available projects. Each project consists of several tasks and to perform each one some resource is required. The objective is to maximize total benefit. The paper constructs a mathematical formulation in form of mixed integer linear programming model. Three effective metaheuristics in form of the imperialis...

Kais Zaman Md. Asadujjaman

In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...

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