文章基本信息

标题：Design and Solution of a Surrogate Model for Portfolio Optimization Based on Project Ranking
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作者：Eduardo Fernandez ; Claudia Gómez-Santillán ; Laura Cruz-Reyes 等
期刊名称：Scientific Programming
印刷版ISSN：1058-9244
出版年度：2017
卷号：2017
DOI：10.1155/2017/1083062
出版社：Hindawi Publishing Corporation
摘要：Characterizing the preferences of a decision maker in a multicriteria decision is a complex task that becomes even harder if the information available is limited. This paper addresses a particular case of project portfolio selection; in this case, the measures of project impacts are not assumed, and the available information is only projects’ ranking and costs. Usually, resource allocation follows the ranking priorities until they are depleted. This action leads to a feasible solution, but not necessarily to a good portfolio. In this paper, a good portfolio is found by solving a multiobjective problem. To effectively address such dimensionality, the decision maker’s preferences in the form of a fuzzy relational system are incorporated in an ant-colony algorithm. The Region of Interest is approached by solving a surrogate triobjective problem. The results show that the reduction of the dimensionality supports the decision maker in choosing the best portfolio.