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Adjustable robustness for multi-attribute project portfolio selection

Author

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  • Fliedner, Thomas
  • Liesiö, Juuso

Abstract

Robust Portfolio Modeling (RPM) supports multi-attribute project portfolio selection with uncertain project scores and decision maker preferences. By determining non-dominated portfolios for all possible realizations of uncertain parameters, decision recommendations produced by RPM may prove too conservative for real-life decision problems. We develop a methodology to reduce the set of possible realizations by limiting the number of project scores that may simultaneously deviate from their most likely value. By adjusting this limit, decision makers can choose desired levels of conservatism. Our approach also allows to capture dependencies among project scores as well as uncertainty in portfolio constraints.

Suggested Citation

  • Fliedner, Thomas & Liesiö, Juuso, 2016. "Adjustable robustness for multi-attribute project portfolio selection," European Journal of Operational Research, Elsevier, vol. 252(3), pages 931-946.
  • Handle: RePEc:eee:ejores:v:252:y:2016:i:3:p:931-946
    DOI: 10.1016/j.ejor.2016.01.058
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    References listed on IDEAS

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    Cited by:

    1. Toppila, Antti & Salo, Ahti, 2017. "Binary decision diagrams for generating and storing non-dominated project portfolios with interval-valued project scores," European Journal of Operational Research, Elsevier, vol. 260(1), pages 244-254.
    2. repec:eee:energy:v:143:y:2018:i:c:p:295-309 is not listed on IDEAS
    3. repec:eee:ejores:v:275:y:2019:i:1:p:167-181 is not listed on IDEAS
    4. repec:eee:ejores:v:275:y:2019:i:2:p:514-535 is not listed on IDEAS
    5. repec:eee:ejores:v:266:y:2018:i:1:p:205-220 is not listed on IDEAS

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