Published January 1, 2022 | Version v1
Journal article Open

Portfolio decision analysis with a generalized balance approach

  • 1. Univ Paris Saclay, CentraleSupelec, MICS, Gif Sur Yvette, France

Description

We consider a resource allocation problem in which the decision maker is responsible for selecting a group of projects to generate a portfolio, with the aim of maximizing the total benefit, and distributing the budget in a balanced way across different categories. We assume that the decision maker defines an interval for the desired share of each category. We propose augmented epsilon-constraint method to generate the nondominated solutions considering two objective functions: total benefit and balance among categories. The solution time increases with the problem size, and augmented epsilon-constraint method fails to find all nondominated solutions. We therefore develop a variable neighborhood search algorithm for the purpose of generating the nondominated frontier. Our computational experiments show that the nondominated frontier can be accurately estimated with respect to different performance measures.

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