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

scholarly journals A New Approach to Group Multi-Objective Optimization under Imperfect Information and Its Application to Project Portfolio Optimization

2021 ◽  
Vol 11 (10) ◽  
pp. 4575
Author(s):  
Eduardo Fernández ◽  
Nelson Rangel-Valdez ◽  
Laura Cruz-Reyes ◽  
Claudia Gomez-Santillan
Keyword(s):  
Portfolio Optimization ◽  
Imperfect Information ◽  
Model Parameters ◽  
Final Decision ◽  
Project Portfolio ◽  
Objective Functions ◽  
Multi Objective Optimization ◽  
New Approach ◽  
Multi Objective ◽  
Group Member

This paper addresses group multi-objective optimization under a new perspective. For each point in the feasible decision set, satisfaction or dissatisfaction from each group member is determined by a multi-criteria ordinal classification approach, based on comparing solutions with a limiting boundary between classes “unsatisfactory” and “satisfactory”. The whole group satisfaction can be maximized, finding solutions as close as possible to the ideal consensus. The group moderator is in charge of making the final decision, finding the best compromise between the collective satisfaction and dissatisfaction. Imperfect information on values of objective functions, required and available resources, and decision model parameters are handled by using interval numbers. Two different kinds of multi-criteria decision models are considered: (i) an interval outranking approach and (ii) an interval weighted-sum value function. The proposal is more general than other approaches to group multi-objective optimization since (a) some (even all) objective values may be not the same for different DMs; (b) each group member may consider their own set of objective functions and constraints; (c) objective values may be imprecise or uncertain; (d) imperfect information on resources availability and requirements may be handled; (e) each group member may have their own perception about the availability of resources and the requirement of resources per activity. An important application of the new approach is collective multi-objective project portfolio optimization. This is illustrated by solving a real size group many-objective project portfolio optimization problem using evolutionary computation tools.

scholarly journals An Improved MOEA/D Based on Reference Distance for Software Project Portfolio Optimization

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-16 ◽  
Author(s):  
Jing Xiao ◽  
Jing-Jing Li ◽  
Xi-Xi Hong ◽  
Min-Mei Huang ◽  
Xiao-Min Hu ◽  
...  
Keyword(s):  
Genetic Algorithm ◽  
Evolutionary Algorithms ◽  
Portfolio Optimization ◽  
Optimization Problem ◽  
Experimental Comparison ◽  
Software Project ◽  
Project Portfolio ◽  
Multiobjective Evolutionary Algorithms ◽  
Reference Distance ◽  
Nondominated Sorting

As it is becoming extremely competitive in software industry, large software companies have to select their project portfolio to gain maximum return with limited resources under many constraints. Project portfolio optimization using multiobjective evolutionary algorithms is promising because they can provide solutions on the Pareto-optimal front that are difficult to be obtained by manual approaches. In this paper, we propose an improved MOEA/D (multiobjective evolutionary algorithm based on decomposition) based on reference distance (MOEA/D_RD) to solve the software project portfolio optimization problems with optimizing 2, 3, and 4 objectives. MOEA/D_RD replaces solutions based on reference distance during evolution process. Experimental comparison and analysis are performed among MOEA/D_RD and several state-of-the-art multiobjective evolutionary algorithms, that is, MOEA/D, nondominated sorting genetic algorithm II (NSGA2), and nondominated sorting genetic algorithm III (NSGA3). The results show that MOEA/D_RD and NSGA2 can solve the software project portfolio optimization problem more effectively. For 4-objective optimization problem, MOEA/D_RD is the most efficient algorithm compared with MOEA/D, NSGA2, and NSGA3 in terms of coverage, distribution, and stability of solutions.

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.

A novel heuristic, based on a new robustness concept, for multi-objective project portfolio optimization

2020 ◽  
Vol 139 ◽  
pp. 106187
Author(s):  
Amin Mohammadnejad Daryani ◽  
Mohammad Mohammadpour Omran ◽  
Ahmad Makui
Keyword(s):  
Portfolio Optimization ◽  
Project Portfolio ◽  
Multi Objective
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