The Study on Portfolio Optimization Methods for Overseas Petroleum Development Projects

2019 ◽  
pp. 669-684
Author(s):  
Wei-na Jiang ◽  
Liang Wei ◽  
Qian Liu ◽  
Xi Chen ◽  
Zuo-qian Wang
Keyword(s):  
Portfolio Optimization ◽  
Optimization Methods ◽  
Development Projects ◽  
Petroleum Development

Risk Budgeted Portfolio Optimization Using an Extended Ant Colony Optimization Metaheuristic

2012 ◽  
Vol 3 (4) ◽  
pp. 25-42 ◽  
Author(s):  
G. A. Vijayalakshmi Pai
Keyword(s):  
Ant Colony Optimization ◽  
Portfolio Optimization ◽  
Stock Exchange ◽  
Experimental Studies ◽  
Optimization Methods ◽  
Investment Strategy ◽  
Ant Colony ◽  
Ant Colony Optimization Algorithm ◽  
Data Set ◽  
Exchange Data

Risk Budgeted portfolio optimization problem centering on the twin objectives of maximizing expected portfolio return and minimizing portfolio risk and incorporating the risk budgeting investment strategy, turns complex for direct solving by classical methods triggering the need to look for metaheuristic solutions. This work explores the application of an extended Ant Colony Optimization algorithm that borrows concepts from evolution theory, for the solution of the problem and proceeds to compare the experimental results with those obtained by two other Metaheuristic optimization methods belonging to two different genres viz., Evolution Strategy with Hall of Fame and Differential Evolution, obtained in an earlier investigation. The experimental studies have been undertaken over Bombay Stock Exchange data set (BSE200: July 2001-July 2006) and Tokyo Stock Exchange data set (Nikkei225: July 2001-July 2006). Data Envelopment Analysis has also been undertaken to compare the performance of the technical efficiencies of the optimal risk budgeted portfolios obtained by the three approaches.

scholarly journals An Interval-Based Evolutionary Approach to Portfolio Optimization of New Product Development Projects

2019 ◽  
Vol 2019 ◽  
pp. 1-18 ◽  
Author(s):  
Eduardo Fernandez ◽  
Claudia Gomez-Santillan ◽  
Nelson Rangel-Valdez ◽  
Laura Cruz-Reyes ◽  
Fausto Balderas
Keyword(s):  
Product Development ◽  
Portfolio Optimization ◽  
New Product Development ◽  
Optimization Problems ◽  
New Product ◽  
Development Projects ◽  
Risk Averse ◽  
Imperfect Knowledge ◽  
Explicit Consideration ◽  
Different Sources

The growth of large enterprises in the manufacturing market commonly depends on good New Product Development (NPD) projects; these projects represent a strategy to overcome competitors inside a competitive environment. The management of such projects is usually complex and involves risk due to the changing and conflicting environment. The approaches that tackle the problem lack an explicit consideration of the DM’s attitude facing uncertainty and imprecision related to the risk and particularly in the presence of time-interdependencies. This paper proposes a model of the time-related effects, under imperfect knowledge, and their influence in choosing optimal NPD portfolios. The proposed approach is an interval-based method to solve NPD portfolio optimization problems under different forms of imperfect knowledge. This approach has the advantage of a unified and simple way to model the different sources of imprecision, vagueness, uncertainty, and arbitrariness. The attitude of the DM facing the imperfect knowledge is adjusted by using some meaningful parameters. The research focuses particularly in creating a method useful for risk-averse DMs. The proposal was tested through an experimental design that compared the results achieved by the new method against the expected value in portfolios. The results revealed that high levels of conservatism might prevent wasting resources in failed projects.

A clustering‐based review on project portfolio optimization methods

2021 ◽  
Author(s):  
Miguel Saiz ◽  
Marisa A. Lostumbo ◽  
Angel A. Juan ◽  
David Lopez‐Lopez
Keyword(s):  
Portfolio Optimization ◽  
Optimization Methods ◽  
Project Portfolio
Sign in / Sign up

Export Citation Format

Share Document