PROBE- a multicriteria decision support system for portfolio robustness evaluation

João Carlos Lourenço, Alec Morton, Carlos A Bana e Costa

Research output: Contribution to journalArticle

37 Citations (Scopus)

Abstract

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.
Original languageEnglish
Pages (from-to)534–550
Number of pages17
JournalDecision Support Systems
Volume54
Issue number1
DOIs
Publication statusPublished - Dec 2012

Keywords

  • restricted efficiency
  • DSS
  • portfolio decision analysis
  • resource allocation
  • portfolio robustness
  • PROBE
  • multicriteria decision support system

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