Optimization models in project portfolio management problems

Abstract

The article discusses the models of project portfolio management under uncertainty and limited financial resources. An approach to determine the optimal size of the loan for project investment and determination of the maximum interest rate at which raising a loan is profitable has been proposed. Considered a model of the project portfolio optimization under uncertainty: if the decision maker can select multiple scenarios, each of which is characterized by a certain probability and value NPV individual project. Within the problem of finding the optimal structure of the portfolio of projects the existence of the region of stability under certain changes in the initial parameters has been proved and an algorithm for computing this region was presented. Submitted optimization models allow to making validated investment decisions in the formation of the project portfolio, given the specificity of the original data.