Provide a two-stage mathematical model for evaluating and selecting a project portfolio

Subject Areas : Financial engineering

shahab Forootan chehr ¹ , saeid aghasi ² , sayyed mohammad reza davoodi ³

1 - Department of Industrial-Financial Management, Dehagan Branch, Islamic Azad University, Dehagan, Iran
2 - Department of Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran
3 - Department of Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran

Received: 2021-12-06 Accepted : 2022-02-06 Published : 2022-12-22

Keywords: project portfolio, MOPSO, MIP, NSGAII,

Abstract :

Today, the need to choose a project portfolio as the main factor in the success of investment profitability is obvious. Evaluating a portfolio of all its dimensions is an urgent and vital need in investment organizations. Therefore, in this research, a two-stage multi-objective mathematical model was evaluated and the project portfolio was selected. Due to the uncertainties in the evaluation of the project portfolio, the theory of firm uncertainty based on Bertsimas and wire were developed on a mathematical model and then due to the NP-HARD being the problem under study, to validate the model in larger dimensions using two algorithms. The meta-initiative of MOPSO and NSGAII analyzed the model findings. Based on the analysis of the results obtained from the two algorithms, it was shown that the computational time of MOPSO algorithm is better than NSGAII algorithm and the means of the first and second objective function of MOPSO also showed the superiority of this algorithm compared to NSGAII. Other analytical parameters such as NPF, MSI and SM showed that the NSGAII algorithm performed better than the MOPSO algorithm. Finally, using TOPSIS method, it was shown that NSGAII algorithm with a weight of 0.6945 was more favorable than MOPSO.