Enfoque estocástico de la incertidumbre en la selección de carteras de proyectos

Abstract

In this paper we develop a 0-1 integer multiobjective programming. model to simultaneously select and plan a portfolio of projects from a set of initial proposals. Projects in the portfolio are allowed to start at different moments of time , according to the resources available at each period and according to other requirements of strategic and/or political character, for example. Furthermore, given that the decision maker usually has an imprecise knowledge of certain parameters appearing in both, the objective functions and constraints of the model, we treat this uncertainty using stochastic programming. The functionality of the model is tested by means of an illustrative example, and using a set of 5,760 test instances.