A Multicriteria Methodological Framework for Portfolio Selection Utilizing Stochastic Data

Isaak Vryzidis, Athanasios Spyridakos

Abstract


The projects portfolio effectiveness evaluation is a complex and diverse topic which is linked to the strategic planning, the efficiency of project implementation teams, the social and economical environment, the availability of the resources etc. The appropriate projects selection constitutes one of the key points to ensure the total portfolio success. This research work proposes an approach for the selection of projects portfolio based on two methodological frames: a) The Multi Criteria UTA(*) method of Disaggregation - Aggregation approach (D-A) with which the alternative actions are evaluated according to the business strategic objectives and b) the Multi-objective (0-1) Linear Programming techniques, which are utilised to select a subset of the alternative projects considering the estimated with the D-A approach multicriteria global values of the alternative projects, additional objectives related to the external environment, internal and external policy restrictions, the availability of resources and the specific market conditions. The incorporation of stochastic criteria into the analysis to evaluate the alternative projects under uncertainty is also presented in this paper. The proposed approach is illustrated through a case study concerning the projects portfolio selection of a contraction firm. One more feature of this research work is the utilisation of previous implemented projects in the reference set for the estimation of the Additive Utility Model with UTA(*) to support the Decision Maker expressing more efficiently his global preferences.

Keywords


Multicriteria Decision Aid, Projects Portfolio Selection, Multi-Objective Linear Programming

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