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Annals of Computer Science and Information Systems, Volume 2

Proceedings of the 2014 Federated Conference on Computer Science and Information Systems

Hybrid framework for investment project portfolio selection

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DOI: http://dx.doi.org/10.15439/2014F347

Citation: Proceedings of the 2014 Federated Conference on Computer Science and Information Systems, M. Ganzha, L. Maciaszek, M. Paprzycki (eds). ACSIS, Vol. 2, pages 11171122 ()

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Abstract. Project selection is a complex multi-criteria decision making process that is influenced by multiple and often conflicting objectives. The complexity of the project selection problem is mainly due to the high number of projects from which an appropriate collection (an effective portfolio) of investment projects must be selected. This paper presents a new conception of a hybrid framework for construction of an effective portfolio of investment projects. The parameters of the considered model are described using both probability distributions and fuzzy numbers (possibility distributions). The proposed framework enables to take into account stochastic dependencies between model parameters and economic dependencies between projects. As a result, a set of Pareto optimal solutions is obtained. The framework is adapted for enterprises with multi-stage production cycle, i.e, for enterprises of a metallurgical or chemical industry. The performance of the proposed method is illustrated using an example from metallurgical industry.