Incomplete Information Robust Portfolio Model Project Selection Problems

In most of modern enterprises, selecting the "best" project portfolio out of a given set of investment proposals is an importance issue for decision-makers. They must consider the incomplete information of the projects and conform to the preference under limited resource and funds. As a result of incomplete information, a small disturbance of the object number may lead to an entirely different collection solutions portfolio. Thus, how to get the robust portfolio based on incomplete information is an important problem to the decision-maker.Robust Portfolio Modeling (RPM) is a decision support methodology for analyzing multiple criteria project portfolio problems. In 2007, considering the affect by appendix information, Juuso Liesi(o|¨)a extended the Robust Portfolio Model. As the extended model didn't compare the each portfolio, the method didn't offer a precise decision. This paper wants to study with this problem, and give a positive answer.First, based on the non-dominated portfolios set in RPM, we compare each portfolio and make the order under the preference of the decision-maker, so that one can get the best optimal solution, and do the same thing when apriori probability on the interval is available.Second, we extend this problem, and consider the project with size-changeable, and also get the best optimal solution under the preference of the decision-maker. The result in this paper can be regarded as a good generalization of the work of Juuso Liesi(o|¨)a.