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

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dc.contributor.authorAsghar Tofighian, Ali
dc.contributor.authorMoezzi, Hamid
dc.contributor.authorKhakzar Barfuei, Morteza
dc.contributor.authorShafiee, Mahmood
dc.date.accessioned2018-02-28T15:53:10Z
dc.date.available2018-02-28T15:53:10Z
dc.date.issued2018-02-02
dc.description.abstractThis 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.identifier.citationTofighian 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. 571–584en_UK
dc.identifier.issn1735-5702
dc.identifier.urihttp://dx.doi.org/10.1007/s40092-017-0242-6
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/13043
dc.language.isoenen_UK
dc.publisherSpringeren_UK
dc.rightsAttribution 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.subjectPortfolio selectionen_UK
dc.subjectRisk analysisen_UK
dc.subjectInvestmenten_UK
dc.subjectGenetic algorithmen_UK
dc.subjectParticle swarm optimizationen_UK
dc.subjectProject interdependencyen_UK
dc.titleMulti-period project portfolio selection under risk considerations and stochastic incomeen_UK
dc.typeArticleen_UK

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