Abstract
Most of the existing models for project portfolio selection are proposed on the framework of fixed investment horizon. One recent and promising strategy for project portfolio selection is flexible time horizon investment that can enable investors more chances to increase their gains. The aim of this paper is to discuss the optimal investment and consumption decision for project portfolio selection with flexible time horizon, in which wealth is divided among a riskless asset and multiple projects. Two flexible time horizon project portfolio selection models are proposed. In the two proposed models, some realistic decision criteria are taken into consideration including risk control over bankruptcy to avoid a possibility of bankruptcy at each period, project start time constraint and reinvestment strategy. Then, a novel genetic algorithm is designed to solve the proposed models. Finally, two numerical examples are given to demonstrate the application of the two proposed models and illustrate the effectiveness of the designed solution algorithm.
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