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Optimization Method on Multi- Project Portfolio with Fuzzy Returns |
ZHANG Wei-Guo, MEI Qin, CHEN Chi-Wen |
South China University of Technology, Guangzhou, China |
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Abstract The problem of project portfolio is considered based on possibility theory. Using the possibilistic mean and possibilistic variance of fuzzy numbers, the fuzzy return and risk evaluation indexes are proposed under the assumption that net cash flows of investment project are fuzzy variables. Then expand this method to multiproject portfolio selection and present the optimization model of project portfolio. Finally, a numerical example of project portfolio is given to illustrate the feasibility and the effectiveness of the proposed approaches.
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Received: 22 April 2010
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