TITLE

MULTI-CRITERIA PROJECT PORTFOLIO OPTIMIZATION UNDER RISK AND SPECIFIC LIMITATIONS

AUTHOR(S)
Fotr, Jiří; Plevný, Miroslav; Švecová, Lenka; Vacík, Emil
PUB. DATE
December 2013
SOURCE
E + M Ekonomie a Management / E+M Economics & Management;2013, Vol. 2013 Issue 4, p71
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The development of a portfolio of investment projects is a relatively underestimated economic practice, which often leads to wrong investment decisions with a negative impact on the corporate performance. This development is often done under certainty, which means with the only one possible scenario. The multi-criteria nature of the task character is also rarely respected. The evaluation of projects is usually done in isolation, without any connection to other projects or without taking into account dependencies between the projects. This paper aims to specify the problem of optimization of development of a project portfolio under risk (optimal allocation of scarce resources). The article offers two approaches to the optimization. The first approach is based on deterministic equivalents with application of bivalent programming (multi-criteria and mono-criteria optimization). The second one uses stochastic optimization based on the Monte Carlo simulation. The application of these model approaches can greatly improve the quality of the project portfolio development under risk.
ACCESSION #
93438115

 

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