Abstract
The method for portfolio investment, allowing the formation of the optimal portfolio structure considering degrees of satisfaction of requirements of stakeholder groups, risks and uncertainty of external and internal environment, was proposed. The model that represents a fuzzy nonlinear programming problem was considered. The weighted average of project utility is used as objective function. The utilities of projects are multiplicative Cobb-Douglas type functions using, along with financial indicators, expert verbal evaluations of qualitative indicators of satisfaction of stakeholder requirements, converted into fuzzy numbers. Exponents in this function reflect the significance of stakeholders for the organization in terms of the existing resource sharing between a company and a stakeholder and the degree of mutual influence. Quantitative accounting of risks is implemented based on the H. Markowitz approach and the scenario-based method. Uncertainty and lack of information for the indicator of economic efficiency of projects is modeled through the use of the fuzzy approach. Constraints in the model are also fuzzy. The transforming from a fuzzy optimization problem into a crisp problem is performed by assigning the satisfaction degrees for an objective function and the constraints. The choice of a certain satisfaction degree also makes it possible to some extent to take into account uncertainty, which, in turn, affects the composition of the portfolio. The solution to the model is found numerically using the proposed method, which allows, based on fuzzy utilities, finding fuzzy objective function and constraints, and transforming a fuzzy model into a crisp quadratic programming problem at specified satisfaction degrees. The example of the formation of an optimal portfolio of investment projects of a fishing industrial enterprise was explored.
Highlights
The success of operation of most modern large organizations is determined by their ability to meet the requirements of multiple stakeholders
Traditional methods for project portfolio selection are based on the use of various financial indicators, which, do not always are key indicators both in terms of successful implementation of a project, and in terms of achieving the strategic objectives of an organization [1]
We developed the fuzzy optimization model of portfolio investment based on multiplicative function of projects’ utility that uses expert estimates of quality indicators of satisfaction of stakeholders’ requirements represented in verbal form, along with financial indicators, The project utility is a multiplicative Cobb-Douglas type function, the factors of which describe the degree of satisfaction of requirements of a separate stakeholder to an organization
Summary
The success of operation of most modern large organizations is determined by their ability to meet the requirements of multiple stakeholders. Traditional methods for project portfolio selection are based on the use of various financial indicators, which, do not always are key indicators both in terms of successful implementation of a project, and in terms of achieving the strategic objectives of an organization [1] In this regard, when solving the problem of portfolio investment, it is necessary to take into account, along with financial indicators, qualitative indicators, reflecting the value (utility) of potential projects for stakeholders. This utility can be expressed in an increase in stakeholders’ satisfaction with relationships with an organization as a result of the project implementation. – make the best use of the available resources; – take into account the uncertainty of external and internal environment, affecting the achievement of results
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Eastern-European Journal of Enterprise Technologies
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
