Fuzzy Set Model of Project Portfolio Optimization Inclusive for Requirements of Stakeholders
Fuzzy Set Model of Project Portfolio Optimization Inclusive for Requirements of Stakeholders

Summary/Abstract: The paper suggests a fuzzy model for the formation of an optimal portfolio of investment projects of the company, which adheres to stakeholder management as a discrete institutional alternative. It considers companies whose main stakeholders are company personnel, founders and investors; society; structures and bodies of state administration. Each of the stakeholders has its own requests in relation to the company. Optimization of the portfolio is based on the proposed multiplicative utility function, which reflects the stakeholder importance of projects and includes, along with the indicator of economic efficiency, qualitative indicators characterizing social and state significance. Risk management is carried out within the framework of the portfolio investment theory of H. Markowitz using the scenario approach. To model the uncertainty of input parameters and the results of project implementation, a fuzzy set approach is used, in which verbal expert estimates of input parameters and results of projects are transformed into fuzzy sets with subsequent formulation and solution of fuzzy optimization problems. A fuzzy model is transformed into a clear quadratic programming problem, which is solved using standard numerical methods. An example of the formation of a portfolio of real projects of a construction company, a developer, operating in the market of the Primorsk Territory of the Russian Federation, is considered.

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