Bi-objective optimization of a project selection and adjustment problem under risk controls

Abstract

Purpose This study aims to deal with a project portfolio selection problem aiming to maximize the net present value of the project portfolio and minimize the resource usage variation between successive time periods. Design/methodology/approach A bi-objective mixed integer programming model is presented under resource constraints. The parameters related to outlays and net cash flows of existing and new projects are considered to be uncertain. An augmented ε-constraint (AUGMECON) method is used to solve the proposed model, and a fuzzy approach is used to find the most preferred Pareto-optimal solutions among those generated by AUGMECON method. The effectiveness of the proposed solution method is compared with three other multi-objective optimization methods. Finally, some sensitivity analyses are performed to assess the effect of changing a number of parameters on the values of objective functions. Findings The proposed approach helps corporations make optimal decisions for rebalancing their project portfolio, through launching some new candidate projects and upgrading some of the existing projects. Originality/value A novel bi-objective optimization model is proposed for designing a project portfolio problem under budget constraints and profit risk controls. Two types of projects including existing and new projects are considered in the problem. Minimization of resource usage variation between successive periods is considered in the model as one objective function. An AUGMECON method is used to solve the proposed bi-objective mathematical model. A fuzzy approach is applied to find the best Pareto-optimal solutions of AUGMECON method. Results of the proposed solution approach are compared with three other multi-objective decision-making methods in different numerical examples.

Framework para seleção de portfólio de projetos no contexto de uma Instituição Federal de Ensino Superior

“…Porém esses trabalhos ordenam os projetos e não levam em consideração as limitações de recursos, ou seja, há priorização de projetos e não de portfólio. Outros usaram a PLI para selecionar o melhor portfólio [5] [6], mas usaram apenas restrições de critérios quantitativos.…”

Corporate sustainability assessment based on rough-grey set theory

“…Decision-makers are always seeking new ways to forecast their business future and decrease the risk of uncertainty in any business, especially in financial markets and the banking sector (Heidari-Fathian and Davari-Ardakani, 2019; Jothimani et al , 2017; Najafabadi et al , 2019). Researchers have followed different approaches to investigate banks’ sustainability; for example, Korzeb and Samaniego-Medina (2019) analyzed the Polish banking sector’s involvement with sustainable development through a multidimensional evaluation applying the technique for order preference by similarity ideal solution method with different weight vectors.…”

Modeling the dynamical ethnic processes in multinational society

“…(Coleman, 2005). Mathematical models seek to explain many macro-level phenomena associated with stratification, segregation, economic development and cultural transformtion (Heidari-Fathian and Davari-Ardakani, 2019; Leckie and Goldstein, 2015; Tsindeliani, 2016). With mathematical modeling, it is possible to assess changes in economic, socio-demographic and ethnic domains over time and forecast negative consequences (Fernández et al , 2016; Guerrieri and Fogli, 2017; Nieuwenhuis et al , 2020; Singh et al , 2019).…”