Robust portfolio modeling with incomplete cost information and project interdependencies

Robust portfolio modeling (RPM) [Liesio, J., Mild, P., Salo, A., 2007. Preference programming for robust portfolio modeling and project selection. European Journal of Operational Research 181, 1488-1505] supports project portfolio selection in the presence of multiple evaluation criteria and incomplete information. In this paper, we extend RPM to account for project interdependencies, incomplete cost information and variable budget levels. These extensions lead to a multi-objective zero-one linear programming problem with interval-valued objective function coefficients for which all non-dominated solutions are determined by a tailored algorithm. The extended RPM framework permits more comprehensive modeling of portfolio problems and provides support for advanced benefit-cost analyses. It retains the key features of RPM by providing robust project and portfolio recommendations and by identifying projects on which further attention should be focused. The extended framework is illustrated with an example on product release planning.

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