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
Abstract
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: | http://www.journals.elsevier.com/decision-support-... |
| Additional Information: | © 2012 Elsevier B.V. |
| Library of Congress subject classification: | H Social Sciences > HG Finance |
| Sets: | Departments > Management Research centres and groups > LSE Health Research centres and groups > Management Science Group |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/46169/ |
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