Title: | Multi-criteria project portfolio optimization under risk and specific limitations |
Authors: | Fotr, Jiří Plevný, Miroslav Švecová, Lenka Vacík, Emil |
Citation: | E+M. Ekonomie a Management = Economics and Management. 2013, č. 4, s. 71-88. |
Issue Date: | 2013 |
Publisher: | Technická univerzita v Liberci |
Document type: | článek article |
URI: | http://www.ekonomie-management.cz/download/1404732058_ebc0/2013_4+Multi-criteria+Project+Portfolio+Optimamization+Under+Risk+and+Specific+Litations.pdf http://hdl.handle.net/11025/17525 |
ISSN: | 1212-3609 (Print) 2336-5604 (Online) |
Keywords: | vývoj projektového portfolia;simulace Monte Carlo;investiční projekty;rizika |
Keywords in different language: | project portfolio development;simulation Monte Carlo;investment projects;risks |
Abstract in different language: | The development of a portfolio of investment projects is a relatively underestimated economic practice, which often leads to wrong investment decisions with a negative impact on the corporate performance. This development is often done under certainty, which means with the only one possible scenario. The multi-criteria nature of the task character is also rarely respected. The evaluation of projects is usually done in isolation, without any connection to other projects or without taking into account dependencies between the projects. This paper aims to specify the problem of optimization of development of a project portfolio under risk (optimal allocation of scarce resources). The article offers two approaches to the optimization. The first approach is based on deterministic equivalents with application of bivalent programming (multi-criteria and mono-criteria optimization). The second one uses stochastic optimization based on the Monte Carlo simulation. The application of these model approaches can greatly improve the quality of the project portfolio development under risk. |
Rights: | © Technická univerzita v Liberci CC BY-NC 4.0 |
Appears in Collections: | Číslo 4 (2013) Články / Articles (KFU) Číslo 4 (2013) |
Files in This Item:
File | Description | Size | Format | |
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2013_4 Multi-criteria Project Portfolio Optimamization Under Risk and Specific Litations.pdf | Plný text | 886,51 kB | Adobe PDF | View/Open |
Please use this identifier to cite or link to this item:
http://hdl.handle.net/11025/17525
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