Solving a comprehensive model for multiobjective project portfolio selection

To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.cor.2009.06.012 Byline: Ana F. Carazo (a), Trinidad Gomez (b), Julian Molina (b), Alfredo G. Hernandez-Diaz (a), Flor M. Guerrero (a), Rafael Caballero (b) Keywords: Portfolio project selection; Scheduling; Multiobjective decision-making; Nonlinear binary models; Metaheuristic methods Abstract: Any organization is routinely faced with the need to make decisions regarding the selection and scheduling of project portfolios from a set of candidate projects. We propose a multiobjective binary programming model that facilitates both obtaining efficient portfolios in line with the set of objectives pursued by the organization, as well as their scheduling regarding the optimum time to launch each project within the portfolio without the need for a priori information on the decision-maker's preferences. Resource constraints, the possibility of transferring resources not consumed in a given a period to the following one, and project interdependence have also been taken into account. Given that the complexity of this problem increases as the number of projects and the number of objectives increase, we solve it using a metaheuristic procedure based on Scatter Search that we call SS-PPS (Scatter Search for Project Portfolio Selection). The characteristics and effectiveness of this method are compared with other heuristic approaches (SPEA and a fully random procedure) using computational experiments on randomly generated instances. Author Affiliation: (a) Departamento de Economia, Metodos Cuantitativos e Historia Economica, Universidad Pablo de Olavide, Carretera Utrera Km. 1, 41013 Sevilla, Spain (b) Departamento de Economia Aplicada, Matematicas, Universidad de Malaga, Campus El Ejido s/n, 29071 Malaga, Spain