Portfolio Optimization Method Considering Project Correlation

With the globalization of the economy and the increasingly fierce market competition,companies that focus on project investment are increasingly concerned about project portfolio issues.The project portfolio combines multiple alternative projects under limited resources to maximize portfolio benefit.In this process,proj ect correlation usually becomes an important factor for portfolio decision research.If this correlation is ignored,it will not only cause the waste of human and material resources,but also bring potential risks to the enterprise.Therefore,considering the correlation of project portfolio problem has great theoretical and practical value.This paper focuses on the portfolio optimization problem considering project correlation,and how can decision makers optimize the portfolio when there is correlation between the projects.The main research contents are as follows:(1)Consider the benefit correlation of projects.With the Shapley distribution principle,the selected benefits distribution function considering the correlation was designed.The distribution function can reflect the principle of distribution according to work and the influence of project importance on the distribution of benefits.The portfolio optimization model based on Shapley value was established with the largest portfolio benefits as optimization goal.The genetic algorithm was used to solve the problem,and the model was analyzed based on multiple sets of simulation experiments.(2)Consider multi-stage project benefits correlation and logical correlation.Constrains the relationship between correlation whether occurs and the total number of selected projects.With the maximum investment benefits of the projects as the optimization goal,a multi-stage portfolio optimization model considering projects correlation was established.The LINGO software was used to solve the problem,and the above mathematical model was analyzed based on multiple sets of simulation experiments.When considering the correlation of projects,a reasonable combination of projects can increase the portfolio benefits and help decision makers achieve their objectives.(3)Consider the factors of divisibility in different stages.The factors affecting the benefits of portfolio decision are divided into three categories:project divisibility,project correlation and resource constraints.The maximum investment portfolio benefit is the optimization goal,and a portfolio optimization model considering three factors was established.For the impact of the optimal solution of the projects portfolio,the model was compared with the project portfolio model considering two factors.The solution was solved by using LINGO software,and the above mathematical model was analyzed based on multiple sets of simulation experiments.