Multi-period project portfolio selection under risk considerations and stochastic income

Show simple item record Asghar Tofighian, Ali Moezzi, Hamid Khakzar Barfuei, Morteza Shafiee, Mahmood 2018-02-28T15:53:10Z 2018-02-28T15:53:10Z 2018-02-02
dc.identifier.citation Tofighian AA, Moezzi H, Khakzar Barfuei M, Shafiee M, Multi-period project portfolio selection under risk considerations and stochastic income, Journal of Industrial Engineering International, September 2018, Volume 14, Issue 3, pp. 571–584 en_UK
dc.identifier.issn 1735-5702
dc.description.abstract This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than those reported in previous studies. A novel mathematical model is presented to solve the problem, considering risks, stochastic incomes, and possibility of investing extra budget in each time period. Due to the complexity of the problem, an effective meta-heuristic method hybridized with a local search procedure is presented to solve the problem. The algorithm is based on genetic algorithm (GA), which is a prominent method to solve this type of problems. The GA is enhanced by a new solution representation and well selected operators. It also is hybridized with a local search mechanism to gain better solution in shorter time. The performance of the proposed algorithm is then compared with well-known algorithms, like basic genetic algorithm (GA), particle swarm optimization (PSO), and electromagnetism-like algorithm (EM-like) by means of some prominent indicators. The computation results show the superiority of the proposed algorithm in terms of accuracy, robustness and computation time. At last, the proposed algorithm is wisely combined with PSO to improve the computing time considerably. en_UK
dc.language.iso en en_UK
dc.publisher Springer en_UK
dc.rights Attribution 4.0 International *
dc.rights.uri *
dc.subject Portfolio selection en_UK
dc.subject Risk analysis en_UK
dc.subject Investment en_UK
dc.subject Genetic algorithm en_UK
dc.subject Particle swarm optimization en_UK
dc.subject Project interdependency en_UK
dc.title Multi-period project portfolio selection under risk considerations and stochastic income en_UK
dc.type Article en_UK

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