PROBE-A multicriteria decision support system for portfolio robustness evaluation

  • Authors:

  • JoãO Carlos LourençO;Alec Morton;Carlos A. Bana E Costa

  • Affiliations:

  • Centre for Management Studies of Instituto Superior Técnico (CEG-IST), Technical University of Lisbon, Av. Rovisco Pais 1, 1049-001 Lisbon, Portugal;Management Science Group, Department of Management, London School of Economics, London WC2A 2AE, United Kingdom;Centre for Management Studies of Instituto Superior Técnico (CEG-IST), Technical University of Lisbon, Av. Rovisco Pais 1, 1049-001 Lisbon, Portugal

  • Venue:
  • Decision Support Systems
  • Year:
  • 2012

Quantified Score

Hi-index 0.00

Visualization

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.