A New Optimization Model for Project Portfolio Selection Under Interval-Valued Fuzzy Environment

Vahid Mohagheghi | S. Meysam Mousavi | Behnam Vahdani

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URL :   http://research.shahed.ac.ir/WSR/WebPages/Report/PaperView.aspx?PaperID=31172
Date :  2015/07/13
Publish in :    Arabian Journal for Science and Engineering
DOI :  https://doi.org/10.1007/s13369-015-1779-6

Keywords :Optimization, Project, Fuzzy

Abstract :

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Selecting the right projects is the primary objective of project-oriented organizations. The main concern of this research is to propose a new optimizing model for project evaluation and project portfolio selection under interval-valued fuzzy (IVF) environment. Projects involvement in uncertainties and complexities is notable, and managers have to make decisions under uncertain environments. In order to assist top managers in project selection under these circumstances, investment capitals and net cash flows of the projects in this paper are presented as IVF numbers instead of crisp or classical fuzzy numbers. Using IVF sets enables the proposed model to consider uncertainty more practically which is achieved through addressing vagueness and lack of information intuitively. A new compound index that simultaneously takes risk and return into account is also presented. This approach illustrates both risk level and return level of project and then calculates the risk of unit return of project. Risk is measured by lower semi-variance of projects’ returns which is a direct, clear and widely accepted downside risk measure. The presented model is first proposed for project evaluation and comparison; then, it is extended for project portfolio selection problem. Finally, the proposed optimization model is exemplified by evaluating the candidate projects and selecting a portfolio of project in real case study of a holding company in developing countries. Moreover, a numerical example is presented to illustrate the capability of model in large-size problems.