The portfolio selection problem is usually considered as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. In the classical Markowitz model the risk is measured with variance, thus generating a quadratic programming model. The Markowitz model is frequently criticized as not consistent with axiomatic models of preferences for choic...

Enterprise executives frequently face the challenge of making decisions under conditions of significant uncertainty when dealing with IT investments, IT project management and realization of intangible organizational benefits enabled by IT. A suitable methodology for accurately estimating the current financial standing of each project in a portfolio of IT projects over the full project lifecycl...

Project selection is a complex decision making process that is influenced by multiple and often conflicting objectives. The complexity of the project selection problem is due to the high number of projects from which a subset (portfolio) has to be chosen. We present a hybrid fuzzy rule-based multi-objective framework for sustainable project portfolio selection. The multiple and conflicting obje...

In this paper, we study the mean–variance portfolio selection problem under partial information with drift uncertainty. First show that market model is complete even in case while i...

Project Portfolio Selection (PPS) is a kind of problem found in a variety of practical situations, such as research and development planning. Several different approaches have been proposed to deal with Project Portfolio Selection (PPS). However, the consideration on benefits synergies between projects is little addressed in the literature. The main focus of this paper is on synergy between pro...

Available online 21 June 2009

In decision analysis, difficulties of obtaining complete information about model parameters make it advisable to seek robust solutions that perform reasonably well across the full range of feasible parameter values. In this paper, we develop the Robust Portfolio Modeling (RPM) methodology which extends Preference Programming methods into portfolio problems where a subset of project proposals ar...