Adjustable Robustness for Multiobjective Project Portfolio Selection

Robust Portfolio Modeling (RPM) supports project portfolio selection with multiple, uncertain project outcomes. By determining non-dominated portfolios for all realizations of uncertain parameters, RPM considers worst-case scenarios, which are impractical for some real-life decision problems. We reduce the set of outcome scenarios by limiting the number of parameters which may deviate from their expected value. Adjusting this limit, decision makers can choose desired levels of conservatism, in extreme cases considering only expected outcome values or all possible scenarios.     «

Robust Portfolio Modeling (RPM) supports project portfolio selection with multiple, uncertain project outcomes. By determining non-dominated portfolios for all realizations of uncertain parameters, RPM considers worst-case scenarios, which are impractical for some real-life decision problems. We reduce the set of outcome scenarios by limiting the number of parameters which may deviate from their expected value. Adjusting this limit, decision makers can choose desired levels of conservatism, in e...     »