An integrated multi-objective framework for solving multi-period project selection problems

摘要

Investment managers are multi-objective decision-makers (DMs) who make portfolio decisions by maximizing profits and minimizing risks over a multi-period planning horizon. Portfolio decisions are complex multi-objective problems which include both tangible and intangible factors. We propose an integrated multi-objective framework for project portfolio selection with respect to both the profits and risks objectives. The proposed method is based on the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) and an efficient version of the epsilon-constraint method. TOPSIS is used to reduce the Multi-Objective Decision Making (MODM) problem into a bi-objective problem. The efficient epsilon-constraint method is used to generate non-dominated solutions with a pre-defined and arbitrary resolution on the Pareto front of the aforementioned bi-objective problem. The results from the integrated framework proposed in this study are compared with the results from the conventional epsilon-constraint method based on a series of simulated benchmark cases. A sensitivity analysis is performed to study the sensitivity of the relative importance weights of the objective functions in re-generating the Pareto front. The practical application of the proposed framework illustrates the efficacy of the procedures and algorithms.