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Article Dans Une Revue Computers and Operations Research Année : 2022

Portfolio decision analysis with a generalized balance approach

Résumé

We consider a resource allocation problem in which the decision maker is responsible for selecting a group of projects to generate a portfolio, with the aim of maximizing the total benefit, and distributing the budget in a balanced way across different categories. We assume that the decision maker defines an interval for the desired share of each category. We propose augmented -constraint method to generate the nondominated solutions considering two objective functions: total benefit and balance among categories. The solution time increases with the problem size, and augmented -constraint method fails to find all nondominated solutions. We therefore develop a variable neighborhood search algorithm for the purpose of generating the nondominated frontier. Our computational experiments show that the nondominated frontier can be accurately estimated with respect to different performance measures.
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Dates et versions

hal-03672262 , version 1 (19-05-2022)

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Selin Özpeynirci, Özgür Özpeynirci, Vincent Mousseau. Portfolio decision analysis with a generalized balance approach. Computers and Operations Research, 2022, 142, pp.105705. ⟨10.1016/j.cor.2022.105705⟩. ⟨hal-03672262⟩
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