PORTFOLIO MODELING IN MULTIPLE-CRITERIA SITUATIONS UNDER UNCERTAINTY

There have been many models for portfolio selection, but most do not explicitly include uncertainty and multiple objectives. This paper presents an approach that includes these aspects using a form of stochastic integer programming with recourse. The method involves the use of a time-based decision tree structure called a “project tree.” Using this basic format, an illustrative six-project example is presented and analyzed. Various forms of objectives are discussed, ranging from the maximization of expected portfolio value to the maximization of the minimum weighted portfolio deviation from two goals. In each case, formulated numerical problems are given, and the solutions derived are presented. The approach is shown to be very flexible and capable of handling a variety of situations and objectives.     

A MULTIATTRIBUTE DECISION-MAKING APPROACH TO THE SELECTION OF AN AUXILIARY DEVICE FOR ICEBREAKERS*

This paper describes the use of multiattribute decision making by the U.S. Coast Guard when choosing the most appropriate auxiliary device to use on an icebreaker. Five different missions of icebreakers are defined, and the objectives and attributes that describe the effectiveness of each auxiliary device in accomplishing these missions are established. For each geographical area of interest, the missions are weighted using the analytical hierarchy process. Also, group utilities are developed for attribute vectors in order to incorporate the judgments of different icebreaker operators.