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A practical R&D selection model using fuzzy pay-off method

Hassanzadeh, F ; Sharif University of Technology | 2012

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  1. Type of Document: Article
  2. DOI: 10.1007/s00170-011-3364-9
  3. Publisher: 2012
  4. Abstract:
  5. The aim of this paper is to develop a practical R&D portfolio selection model that addresses effective R&D project valuation issue, while it tackles R&D uncertainty in portfolio optimization. Fuzzy sets theory is employed to capture and model the inaccuracy in project information. To avoid the well-known complications of fuzzy real option valuation, the fuzzy pay-off method is used to more effectively value R&D projects. The resulting problem is formulated as a fuzzy zero-one integer programming model which is later transformed into a crisp mathematical formulation to solve the problem for various degrees of risk. A numerical example is used to illustrate the proposed approach
  6. Keywords:
  7. R&D portfolio selection ; Real option valuation ; Fuzzy optimization ; Fuzzy pay-off method ; Fuzzy sets theory ; Integer programming models ; Mathematical formulation ; Numerical example ; Portfolio optimization ; Portfolio selection models ; Project informations ; Project valuation ; Real Options ; Selection model ; Zero-one ; Computer programming ; Financial data processing ; Fuzzy sets ; Models ; Optimization ; Resource valuation ; Integer programming
  8. Source: International Journal of Advanced Manufacturing Technology ; Volume 58, Issue 1-4 , June , 2012 , Pages 227-236 ; 02683768 (ISSN)
  9. URL: http://link.springer.com/article/10.1007%2Fs00170-011-3364-9