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Bounds in Tree-Based Approaches to Generate Project Portfolios in the Presence of Interactions

Author

Listed:
  • Rudolf vetschera

    (University of Vienna, Austria)

  • Jonatas Araùjo de Almeida

    (Universidade Federal de Pernambuco, Brazil)

Abstract

Portfolio decision models have become an important branch of decision analysis. Portfolio problems are inherently complex, because of the combinatorial explosion in the number of portfolios that can be constructed even from a small number of items. To efficiently construct a set of portfolios that provide good performance in multiple criteria, methods that guide the search process are needed. Such methods require the calculation of bounds to estimate the performance of portfolios that can be obtained from a given partial portfolio. The calculation of such bounds is particularly difficult if interactions between items in the portfolio are possible. In the paper, the authors introduce a method to represent such interactions and develop various bounds that can be used in the presence of interactions. These methods are then tested in a computational study, where they show that the bounds they propose frequently provide a good approximation of actual outcomes, and also analyze specific properties of the problem that influence the approximation quality of the proposed bounds.

Suggested Citation

  • Rudolf vetschera & Jonatas Araùjo de Almeida, 2021. "Bounds in Tree-Based Approaches to Generate Project Portfolios in the Presence of Interactions," International Journal of Decision Support System Technology (IJDSST), IGI Global, vol. 13(4), pages 1-21, October.
    • Handle: RePEc:igg:jdsst0:v:13:y:2021:i:4:p:1-21
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    References listed on IDEAS

    as
    1. Nikolaos Argyris & José Rui Figueira & Alec Morton, 2011. "Interactive Multicriteria Methods in Portfolio Decision Analysis," International Series in Operations Research & Management Science, in: Ahti Salo & Jeffrey Keisler & Alec Morton (ed.), Portfolio Decision Analysis, chapter 0, pages 107-130, Springer.
    2. Ahti Salo & Jeffrey Keisler & Alec Morton, 2011. "An Invitation to Portfolio Decision Analysis," International Series in Operations Research & Management Science, in: Ahti Salo & Jeffrey Keisler & Alec Morton (ed.), Portfolio Decision Analysis, chapter 0, pages 3-27, Springer.
    3. Mara Airoldi & Alec Morton, 2011. "Portfolio Decision Analysis for Population Health," International Series in Operations Research & Management Science, in: Ahti Salo & Jeffrey Keisler & Alec Morton (ed.), Portfolio Decision Analysis, chapter 0, pages 359-381, Springer.
    4. Stanley Reiter, 1963. "Choosing an Investment Program among Interdependent Projects," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 30(1), pages 32-36.
    5. Pierre Dussauge & Ulrich Wassmer, 2011. "Value Creation in Alliance Portfolios: The Benefits and Costs of Network Resource Interdependencies," Post-Print hal-00609489, HAL.
    6. Ulrich Wassmer & Pierre Dussauge, 2011. "Value creation in alliance portfolios : The benefits and costs of network resource interdependencies," Post-Print hal-02313045, HAL.
    7. Barbara Fasolo & Alec Morton & Detlof Winterfeldt, 2011. "Behavioural Issues in Portfolio Decision Analysis," International Series in Operations Research & Management Science, in: Ahti Salo & Jeffrey Keisler & Alec Morton (ed.), Portfolio Decision Analysis, chapter 0, pages 149-165, Springer.
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