Large scale portfolio selection with synergies

Authors:
I. Litvinchev;N. Arratia;F. López
Affiliations:
Computing Center Russian Academy of Sciences, Moscow, Russia 119991;Faculty of Mechanical and Electrical Engineering, UANL, San Nicolas de los Garza, Mexico 66450;Faculty of Mechanical and Electrical Engineering, UANL, San Nicolas de los Garza, Mexico 66450
Venue:
Journal of Computer and Systems Sciences International
Year:
2013

Citing 7
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Abstract

The paper presents a multi-objective mixed integer linear programming model for portfolio selection of research and development (R and D) projects with synergies. Partial assignment of funds is allowed to different tasks of the project, while synergies are considered at the task and the project level. A synergy is active if a number of its elements sufficiently supported is within certain bounds. The risk associated with insufficient support is introduced. Numerical results are presented to demonstrate the efficiency of the proposed approach for large scale instances.