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Portfolio decision analysis with PROBE: Addressing costs of not financing projects

机译:使用PROBE进行投资组合决策分析:解决未融资项目的成本

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In this paper, the basic formulation of the portfolio selection problem included in the decision support system PROBE (Portfolio Robustness Evaluation) is extended in order to incorporate the costs associated with not selecting some projects. We use as example a portfolio selection problem involving 13 indivisible projects from four firm departments that compete for a common budget. The selection is based on the projects' costs and the benefits on four criteria, taken into consideration interdependences between projects. In addition, the costs of not selecting some of the projects must be taken into account, because if they are not selected it will be necessary to reimburse the clients with which previous supply contracts had been signed.
机译:在本文中,扩展了决策支持系统PROBE(证券投资组合的稳健性评估)中包含的投资组合选择问题的基本公式,以纳入与未选择某些项目相关的成本。我们以一个投资组合选择问题为例,该问题涉及来自四个公司部门的13个不可分割的项目,它们竞争一个共同的预算。选择是基于项目的成本和四个标准的收益,并考虑了项目之间的相互依赖性。此外,必须考虑不选择某些项目的成本,因为如果未选择这些项目,则必须补偿与先前签订的供应合同的客户。

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