Application of gray systems and fuzzy sets in combination with real options theory in project portfolio management. (English) Zbl 1390.90603
Summary: The aim of this paper is to develop methods for addressing the problem of project portfolio selection and to present some approaches for evaluating investment portfolio. We propose two methods for this problem. The first method is based on gray systems and proposes a gray linear programming model. In this regard, first the effective criteria for performance evaluation of project portfolios with literature survey are identified. Then the importance of each is measured with Shannon entropy. For ranking the considered sample, we use gray systems theory. Finally, part investment in each portfolio is determined by the gray linear programming model. The second method is based on the fuzzy ranking method. In this section, 100,000 portfolios are produced by a computer program that each involves 20 different projects the amount of whose investment is between 0 and 100%. Revenue uncertainty of each portfolio is randomly selected. Then, the ranking index is used that allows decision maker to compare various portfolios and select the best of them. In both methods, we try to use real options theory concepts as a modern and efficient economic evaluation tool for optimal portfolio selection problem. Applicable examples are used to show the convenience and suitability of the proposed methods.
MSC:
| 90C70 | Fuzzy and other nonstochastic uncertainty mathematical programming |
| 91G10 | Portfolio theory |
Keywords:
investment analysis; portfolio management; real option valuation; gray systems; fuzzy optimizationReferences:
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