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Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility

Author

Listed:
  • Xingmei Li

    (North China Electric Power University)

  • Yaxian Wang

    (North China Electric Power University)

  • Qingyou Yan

    (North China Electric Power University)

  • Xinchao Zhao

    (Beijing University of Posts and Telecommunications)

Abstract

The project portfolio selection problem considering divisibility is a new research problem rising in recent years. However, two deficiencies are discovered in current divisible project portfolio selection research, one is that researchers always ignore the already started exiting projects when selecting a project portfolio, and the other is that the project parameters are all considered as exact values which are not consistent with practice situation. Under this circumstance, the paper first discusses the dynamic project portfolio selection problem with project divisibility. Meanwhile, due to the lack of correlative historical data, some project parameters are given by experts’ estimates and are treated as uncertain variables. Therefore, a mean-variance mixed integer nonlinear optimal selection model is first developed in this paper to deal with the uncertain dynamic project portfolio selection problem with divisibility. For the convenience of computations, an equivalent mixed integer linear programming representation is proposed. Numerical examples with two scenarios are presented to shed light on the characteristics of the proposed model.

Suggested Citation

  • Xingmei Li & Yaxian Wang & Qingyou Yan & Xinchao Zhao, 2019. "Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility," Fuzzy Optimization and Decision Making, Springer, vol. 18(1), pages 37-56, March.
    • Handle: RePEc:spr:fuzodm:v:18:y:2019:i:1:d:10.1007_s10700-018-9283-6
    DOI: 10.1007/s10700-018-9283-6
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    Cited by:

    1. Bo Li & Yufei Sun & Kok Lay Teo, 2022. "An analytic solution for multi-period uncertain portfolio selection problem," Fuzzy Optimization and Decision Making, Springer, vol. 21(2), pages 319-333, June.
    2. Xiaoxia Huang & Guowei Jiang, 2021. "Portfolio management with background risk under uncertain mean-variance utility," Fuzzy Optimization and Decision Making, Springer, vol. 20(3), pages 315-330, September.
    3. Fahime Lotfian Delouyi & Seyed Hassan Ghodsypour & Maryam Ashrafi, 2021. "Dynamic Portfolio Selection in Gas Transmission Projects Considering Sustainable Strategic Alignment and Project Interdependencies through Value Analysis," Sustainability, MDPI, vol. 13(10), pages 1-25, May.

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