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- W18035561 abstract "This paper considers the problem of project selection, subject to a budget and other constraints. The return of each individual project is uncertain, and its probability distribution is only partially characterized. The criterion for project selection is based on a satisficing approach that evaluates how well the uncertain total return achieves a prespecified target return, considering the diversification preference of the decision maker. This criterion is implemented by maximizing the entropic satisficing measure. Thus, our model maximizes the value of a risk aversion parameter, while keeping the certainty equivalent of the uncertain returns under exponential utility above a given target. We allow interactions, for example synergies, between the returns of different projects. We also allow correlation between the uncertain returns of different projects. Our solution procedure solves a small sequence of subproblems via binary search and applies a cutting plane procedure to test feasibility at each subproblem. An extensive computational study shows that the satisficing model generates more effective project portfolios than any other project selection approach. We describe a simple and easily implemented greedy heuristic for the subproblem. Computational tests show that the use of this heuristic at the subproblem routinely provides close to the same return as the cutting plane approach. Finally, we identify several managerial insights from our results." @default.
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- W18035561 date "2009-01-01" @default.
- W18035561 modified "2023-09-27" @default.
- W18035561 title "AS atisf icing Model for Project Selection" @default.
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