MEFISTO: A Pragmatic Metaheuristic Framework for Adaptive Search with a Special Application to Pickup and Delivery Transports

Farhad Hassanzadeh (), Mohammad Modarres () and Mohammad Saffai ()
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Farhad Hassanzadeh: Sharif University of Technology, Department of Industrial Engineering
Mohammad Modarres: Sharif University of Technology, Department of Industrial Engineering
Mohammad Saffai: Sharif University of Technology, Department of Industrial Engineering

Chapter 73 in Operations Research Proceedings 2008, 2009, pp 451-456 from Springer

Abstract: Summary Intense competition in the current business environment leads firms to focus on selecting the best R&D project portfolio. Achieving this goal is tied down by uncertainty which is inherent in all R&D projects and therefore, investment decisions must be made within an optimization framework accounting for unavailability of data. In this paper, such a model is developed to hedge against uncertainty. The robust optimization approach is adopted and the problem is formulated as a robust zero-one integer programming model to determine the optimal project portfolio. An example is used to illustrate the benefits of the proposed approach.

Keywords: Portfolio Selection; Robust Optimization; Portfolio Selection Problem; Project Portfolio; Compound Option (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-00142-0_73

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DOI: 10.1007/978-3-642-00142-0_73

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