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PROBE—A multicriteria decision support system for portfolio robustness evaluation

Lourenço, João Carlos, Morton, Alec and Bana e Costa, Carlos A. (2012) PROBE—A multicriteria decision support system for portfolio robustness evaluation. Decision Support Systems, 54 (1). pp. 534-550. ISSN 0167-9236

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Identification Number: 10.1016/j.dss.2012.08.001


This paper addresses the problem of selecting a robust portfolio of projects in the context of limited resources, multiple criteria, different project interactions and several types of uncertainty. A portfolio of projects is considered an undoubtedly robust choice if for a given uncertainty domain that affects the costs and/or the benefits of the projects there is no other portfolio that does not cost more and simultaneously may provide more overall benefit. We present a new decision support system, PROBE (Portfolio Robustness Evaluation), and the algorithms it implements. PROBE identifies all efficient portfolios and depicts the respective Pareto frontier within a given portfolio cost range, and permits users to analyze, in depth, the robustness of selecting a proposed portfolio. The robustness evaluation starts by identifying competitor portfolios to the proposed portfolio, its similarities and differences in project composition to its competitors, and the regret a decision-maker may have by selecting the proposed portfolio instead of a competitor.

Item Type: Article
Official URL:
Additional Information: © 2012 Elsevier B.V.
Divisions: Management
LSE Health
Subjects: H Social Sciences > HG Finance
Date Deposited: 19 Sep 2012 13:48
Last Modified: 04 Jun 2024 06:36

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