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A practical approach to R&D portfolio selection using the fuzzy pay-off method

Hassanzadeh, F ; Sharif University of Technology | 2012

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  1. Type of Document: Article
  2. DOI: 10.1109/TFUZZ.2011.2180380
  3. Publisher: IEEE , 2012
  4. Abstract:
  5. The objective of this research is to develop a practical research and development (R&D) portfolio selection model that addresses the effective R&D project valuation issue, while tackling R&D uncertainty in portfolio optimization. Fuzzy set theory is employed to capture and model the uncertain project information. To evade the well-known complexities of fuzzy real option valuation, the recently developed fuzzy pay-off method is used to more effectively valuate R&D projects. The resulting problem is formulated as a fuzzy zero-one integer programming model that handles uncertainty of input data in order to determine the optimal portfolio. Two satisfaction measures, which are based on possibility and necessity theory, are employed to solve the resulting fuzzy model. An example is presented to compare these measures, as well as to illustrate the simplicity and applicability of the proposed approach
  6. Keywords:
  7. Real option valuation ; Research and development (R&D) portfolio optimization ; Fuzzy models ; Fuzzy pay-off method ; Input datas ; Integer programming models ; Optimal portfolios ; Portfolio optimization ; Portfolio selection ; Portfolio selection models ; Project informations ; Project valuation ; Real Options ; Research and development ; Zero-one ; Computer programming ; Financial data processing ; Fuzzy set theory ; Integer programming ; Resource valuation ; Research
  8. Source: IEEE Transactions on Fuzzy Systems ; Volume 20, Issue 4 , 2012 , Pages 615-622 ; 10636706 (ISSN)
  9. URL: http://ieeexplore.ieee.org/xpl/articleDetails.jsp?arnumber=6109284