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Portfolio decision analysis: Recent developments and future prospects

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  • Liesiö, Juuso
  • Salo, Ahti
  • Keisler, Jeffrey M.
  • Morton, Alec

Abstract

Portfolio decision analysis (PDA) refers to the body of theory, methods and practice which support decision makers in making informed multiple selections from a set of alternatives with the help of mathematical models that account for relevant constraints, preferences and uncertainties. In this review, we take stock of recent advances in PDA research, based on a representative sample of 148 PDA articles in operations research and management science journals from 2006 to 2019. In particular, we analyse relevant methodologies and discuss prominent PDA application areas. Our analysis indicates that PDA is a vibrant research field with close ties to practice, as a substantial share of articles present real applications or contain illustrative examples which are motivated by such applications. For continued knowledge accumulation, there is substantial promise in exploiting PDA concepts in deriving recommendations from decision models for problems which may not have been viewed as PDA problems; fostering the cross-fertilization of conceptual and methodological advances across application areas; and ensuring that new methodological advances are systematically evaluated through engagements with real decision makers.

Suggested Citation

  • Liesiö, Juuso & Salo, Ahti & Keisler, Jeffrey M. & Morton, Alec, 2021. "Portfolio decision analysis: Recent developments and future prospects," European Journal of Operational Research, Elsevier, vol. 293(3), pages 811-825.
    • Handle: RePEc:eee:ejores:v:293:y:2021:i:3:p:811-825
    DOI: 10.1016/j.ejor.2020.12.015
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    4. Brunelli, Matteo & Corrente, Salvatore, 2024. "Modeling criteria and project interactions in portfolio decision analysis with the Choquet integral," Omega, Elsevier, vol. 126(C).
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    6. Fecarotti, Claudia & Andrews, John & Pesenti, Raffaele, 2021. "A mathematical programming model to select maintenance strategies in railway networks," Reliability Engineering and System Safety, Elsevier, vol. 216(C).
    7. Ali Tlili & Oumaima Khaled & Vincent Mousseau & Wassila Ouerdane, 2023. "Interactive portfolio selection involving multicriteria sorting models," Annals of Operations Research, Springer, vol. 325(2), pages 1169-1195, June.
    8. Liesiö, Juuso & Kee, Taeyoung & Malo, Pekka, 2024. "Modeling project interactions in multiattribute portfolio decision analysis: Axiomatic foundations and practical implications," European Journal of Operational Research, Elsevier, vol. 316(3), pages 988-1000.
    9. Salo, Ahti & Doumpos, Michalis & Liesiö, Juuso & Zopounidis, Constantin, 2024. "Fifty years of portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(1), pages 1-18.
    10. Zhang, Xinwei & Yan, Yong & Wang, Lilin & Wang, Yang, 2024. "A ranking approach for robust portfolio decision analysis based on multilinear portfolio utility functions and incomplete preference information," Omega, Elsevier, vol. 122(C).
    11. Salo, Ahti & Andelmin, Juho & Oliveira, Fabricio, 2022. "Decision programming for mixed-integer multi-stage optimization under uncertainty," European Journal of Operational Research, Elsevier, vol. 299(2), pages 550-565.

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