Project Portfolio Selection Modeling with Conditional Value at Risk Constrain

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Ramezani Hafshejani, Pooria | 2019

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 52038 (01)
University: Sharif University of Technology
Department: Industrial Engineering
Advisor(s): Modarres Yazdi, Mohammad
Abstract:
Project Portfolio Selection as a part of Project Portfolio Management, is a very important issue for the organizations and is a key activity. In this thesis at the first with studding stock portfolios, it has been shown that because of mathematical features, Conditional Value at Risk is a coherent risk criteria and used efficiently in stock portfolio management. So in Project Portfolio Selection we use Conditional value at Risk as coherent risk criteria and based on that we will present a model that not only reach to the maximum utility but also but also reach to the minimum feasible Conditional Value at Risk. After that with the use of this model and with the use of mathematical features of Conditional Value at Risk ,without any effective constrain on Conditional Value at Risk, we will present a model for Value at Risk constrain. At the end with numerical example we will show the necessity of using this models
Keywords:
Project Portfolio Management ; Project Selection ; Portfolio Management ; Conditional Value at Risk ; Value at Risk