An Invitation to Portfolio Decision Analysis

Salo, Ahti; Keisler, Jeffrey M.; Morton, Alec

doi:10.1007/978-1-4419-9943-6_1

Cited by 43 publications

(32 citation statements)

References 69 publications

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“…The approach by Fernandez et al [25] was successfully applied to Problem 1 in [15]. Combined with an ant-colony metaheuristic, the approach in Bastiani et al [9] is extended here to solve PSPSOP thru the optimization model defined in problem (2). To summarize, the contribution of this work is the solution of PSPSOP with lack of information using a surrogate objective model (which is of smaller dimension than those reported in previous approaches) and the incorporation of DM's preferences in the search process to approximate the RoI.…”

Section: Proposed Surrogate Model For Pspsopmentioning

confidence: 99%

“…The approach takes ideas from Dorigo's ACS [28], Cruz et al [15], and Bastiani et al [9] to solve PSPSOP, first searching in the wider feasible region defined by Bastiani's model and then searching in the smaller space defined by the model in problem (2).…”

Section: An Ant-colony Optimization Algorithmmentioning

confidence: 99%

“…The type of projects can vary according to the area, and they might be involved in a wide range of tasks or activities, such as improving the skills of a professional sports team, the selection of R&D project portfolios in enterprises, the founding of projects by a government program, and supporting environmental regulations [2].…”

Section: Introductionmentioning

confidence: 99%

“…The union of all the new portfolios * new will form the new set of feasible portfolios * . The construction of nondominated fronts (see Line (8)) is based on the objectives defined in problem (2). The output of the algorithm in this phase is the set of fronts = { 0 , 1 , .…”

mentioning

confidence: 99%

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Design and Solution of a Surrogate Model for Portfolio Optimization Based on Project Ranking

Fernández

Gómez-Santillán

Cruz-Reyes

et al. 2017

Scientific Programming

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Characterizing the preferences of a decision maker in a multicriteria decision is a complex task that becomes even harder if the information available is limited. This paper addresses a particular case of project portfolio selection; in this case, the measures of project impacts are not assumed, and the available information is only projects' ranking and costs. Usually, resource allocation follows the ranking priorities until they are depleted. This action leads to a feasible solution, but not necessarily to a good portfolio. In this paper, a good portfolio is found by solving a multiobjective problem. To effectively address such dimensionality, the decision maker's preferences in the form of a fuzzy relational system are incorporated in an ant-colony algorithm. The Region of Interest is approached by solving a surrogate triobjective problem. The results show that the reduction of the dimensionality supports the decision maker in choosing the best portfolio.

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Section: Proposed Surrogate Model For Pspsopmentioning

confidence: 99%

Section: An Ant-colony Optimization Algorithmmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

mentioning

confidence: 99%

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Design and Solution of a Surrogate Model for Portfolio Optimization Based on Project Ranking

Fernández

Gómez-Santillán

Cruz-Reyes

et al. 2017

Scientific Programming

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“…Choosing the "right projects" is an important part of strategic management in organizations. Even though making choices among alternative courses of action is a frequent activity in every organizations (Salo et al, 2011). A common and critical issue in any organization is about how to allocate resources to candidate projects while there are some interdependencies among them (Beheshti Pour et al, 2013).…”

Section: Introductionmentioning

confidence: 99%

NPD project portfolio selection using reinvestment strategy in competitive environment

Ghassemi¹,

Amalnick²

2018

10.5267/j.ijiec

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This study aims to design a new model for selecting most fitting new product development projects in a pool of projects. To catch the best model, we assume new products will be introduced to the competitive markets. Also, we suppose the revenue yielded by completed projects can be reinvested on implementation of other projects. Other sources of financing are borrowing loans from banks and initial capital of the firm. These limited resources determine most evaluated projects to be performed. Several types of interactions among different projects are considered to make the chosen projects more like a portfolio. In addition, some numerical examples from the real world are provided to demonstrate the applicability of the proposed model. These examples show how the particular considerations in the suggested model affect the results.

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Multicriteria decisions and portfolio analysis: land acquisition for biological and social objectives

Krainyk

Lyons

Rice

et al. 2021

Ecological Applications

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Resource allocation for land acquisition is a common multiobjective problem that involves complex trade‐offs. The National Wildlife Refuge System (NWRS) of the U.S. Fish and Wildlife Service currently uses the Targeted Resource Acquisition Comparison Tool (TRACT) to allocate funds from the Migratory Bird Conservation Fund (MBCF; established through the Migratory Bird Hunting and Conservation Act of 1934) for land acquisition based on cost–benefit analysis, regional priority rankings of candidate land parcels available for acquisition, and the overall biological contribution to duck population objectives. However, current policy encourages decision makers to consider societal and economic benefits of lands acquired, in addition to their biological benefits to waterfowl. These decisions about portfolio elements (i.e., individual land parcels) require an analysis of the difficult trade‐offs among multiple objectives. In the last decade the application of multicriteria decision analysis (MCDA) methods has been instrumental in aiding decision makers with complex multiobjective decisions. In this study, we present an alternative approach to developing land‐acquisition portfolios using MCDA and modern portfolio theory (MPT). We describe the development of a portfolio decision analysis tool using constrained optimization for land‐acquisition decisions by the NWRS. We outline the decision framework, describe development of the prototype tool in Microsoft Excel, and test the results of the tool using land parcels submitted as candidates for MBCF funding in 2019. Our results indicate that the constrained optimization outperformed the traditional TRACT method and ad hoc portfolios developed using current NWRS criteria.

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An Invitation to Portfolio Decision Analysis

Cited by 43 publications

References 69 publications

Design and Solution of a Surrogate Model for Portfolio Optimization Based on Project Ranking

Design and Solution of a Surrogate Model for Portfolio Optimization Based on Project Ranking

NPD project portfolio selection using reinvestment strategy in competitive environment

Multicriteria decisions and portfolio analysis: land acquisition for biological and social objectives

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