PROBE- a multicriteria decision support system for portfolio robustness evaluation
Lourenço, João Carlos and Morton, Alec and Bana e Costa, Carlos A (2012) PROBE- a multicriteria decision support system for portfolio robustness evaluation. Decision Support Systems, 54 (1). 534–550.
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This paper addresses the problem of selecting a robust portfolio of projects in the context of limited resources, multiple criteria, different project interactions and several types of uncertainty. A portfolio of projects is considered an undoubtedly robust choice if for a given uncertainty domain that affects the costs and/or the benefits of the projects there is no other portfolio that does not cost more and simultaneously may provide more overall benefit. We present a new decision support system, PROBE (Portfolio Robustness Evaluation), and the algorithms it implements. PROBE identifies all efficient portfolios and depicts the respective Pareto frontier within a given portfolio cost range, and permits users to analyze, in depth, the robustness of selecting a proposed portfolio. The robustness evaluation starts by identifying competitor portfolios to the proposed portfolio, its similarities and differences in project composition to its competitors, and the regret a decision-maker may have by selecting the proposed portfolio instead of a competitor.
| Creators(s): |
Lourenço, João Carlos, Morton, Alec  ORCID: https://orcid.org/0000-0003-3803-8517 and Bana e Costa, Carlos A;
| Item type: | Article |
|---|---|
| ID code: | 45433 |
| Keywords: | restricted efficiency, DSS, portfolio decision analysis, resource allocation, portfolio robustness, PROBE, multicriteria decision support system, Management. Industrial Management, Strategy and Management |
| Subjects: | Social Sciences > Industries. Land use. Labor > Management. Industrial Management |
| Department: | Strathclyde Business School > Management Science |
| Depositing user: | Pure Administrator |
| Date deposited: | 28 Oct 2013 14:28 |
| Last modified: | 20 Jan 2021 20:56 |
| URI: | https://strathprints.strath.ac.uk/id/eprint/45433 |
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