Multi-Criteria Project Portfolio Optimization under Risk and Specific Limitations


Ekonomika a management

Multi-Criteria Project Portfolio Optimization under Risk and Specific Limitations

In reality we can often come across the task of developing a portfolio (set) of projects having the character of investment projects (extending production capacity by means of development or acquisitions, innovation of production technologies, introducing new products and such like) or research projects (research and development of new products, technologies, processes and such like).
Jméno a příjmení autora:

Jifií Fotr, Miroslav Plevný, Lenka Švecová, Emil Vacík

Rok:
2013
Ročník:
16
Číslo:
4
Strany:
70 - 88
DOI (& full text):
Anotace:
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…více
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.
Sekce:
Ekonomika a management

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