This paper develops a bi-objective portfolio selection problem that maximizes returns and minimizes a risk measure called conditional Drawdown (CDD). The drawdown measures include the maximal Drawdown and Average Drawdown as its limiting case. The CDD family of risk functional is similar to conditional value at Risk (CVaR). In this paper, the fuzzy method has been used to solve the bi-objec...

Year over year, the majority of IT projects fail to deliver the required features on time and budget, costing billions of dollars. The task of portfolio managers is to make a selection of prospective projects, given only rough costbenefit estimates for them. In this paper, we present LearnIT, a tool to aid portfolio managers in their portfolio selection job. LearnIT identifies past or current I...

Credit allocation through the usage of Portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. This paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...

Management of intellectual capital is an important issue in knowledge intensive organizations. Part of this is the composition of the optimal project portfolio the organization will carry out in the future. Standard methods that guide this process mostly focus on project selection on the basis of expected returns. However, in many cases other strategic factors should be considered in their inte...

Adequately considering interactions among IT/IS projects in the process of constructing an IT/IS project portfolio is an important requirement for IT/IS project portfolio selection. Especially interactions caused by the simultaneous utilization of scarce resources are very common and of high relevance for IT/IS project portfolio selection problems. In the literature, resource interactions are a...

When organizations do not have well defined goals and constraints, traditional mixed integer programming MIP models are ineffective for portfolio selection. In such cases, some organizations revert to building project portfolios based on data envelopment analysis DEA relative efficiency scores. However, implementing the k most efficient projects until resources are expended will not always resu...