Design and Solution of a Surrogate Model for Portfolio Optimization Based on Project Ranking
Joint Authors
Gomez-Santillan, Claudia
Rangel-Valdez, Nelson
Cruz-Reyes, Laura
Bastiani, Shulamith
Fernandez, Eduardo
Source
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-12-07
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
Characterizing the preferences of a decision maker in a multicriteria decision is a complex task that becomes even harder if the information available is limited.
This paper addresses a particular case of project portfolio selection; in this case, the measures of project impacts are not assumed, and the available information is only projects’ ranking and costs.
Usually, resource allocation follows the ranking priorities until they are depleted.
This action leads to a feasible solution, but not necessarily to a good portfolio.
In this paper, a good portfolio is found by solving a multiobjective problem.
To effectively address such dimensionality, the decision maker’s preferences in the form of a fuzzy relational system are incorporated in an ant-colony algorithm.
The Region of Interest is approached by solving a surrogate triobjective problem.
The results show that the reduction of the dimensionality supports the decision maker in choosing the best portfolio.
American Psychological Association (APA)
Fernandez, Eduardo& Gomez-Santillan, Claudia& Cruz-Reyes, Laura& Rangel-Valdez, Nelson& Bastiani, Shulamith. 2017. Design and Solution of a Surrogate Model for Portfolio Optimization Based on Project Ranking. Scientific Programming،Vol. 2017, no. 2017, pp.1-10.
https://search.emarefa.net/detail/BIM-1203276
Modern Language Association (MLA)
Fernandez, Eduardo…[et al.]. Design and Solution of a Surrogate Model for Portfolio Optimization Based on Project Ranking. Scientific Programming No. 2017 (2017), pp.1-10.
https://search.emarefa.net/detail/BIM-1203276
American Medical Association (AMA)
Fernandez, Eduardo& Gomez-Santillan, Claudia& Cruz-Reyes, Laura& Rangel-Valdez, Nelson& Bastiani, Shulamith. Design and Solution of a Surrogate Model for Portfolio Optimization Based on Project Ranking. Scientific Programming. 2017. Vol. 2017, no. 2017, pp.1-10.
https://search.emarefa.net/detail/BIM-1203276
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1203276