Project Portfolio Selection Considering Return-risk Evaluation and Multiple-Criteria Decision Analysis

Abstract

Companies often face a challenge when they need to select their projects for execution because the resources are not enough for all of them. For supporting decision, they need to employ some form of selecting the best portfolio to run. There are several proposals in the literature, many allowing an evaluation of efficiency between expected return and risk. However, these proposals indicate a list of efficient portfolios, but not the one best suited for execution. On the other hand, multi-criteria analysis methods allow a more specific indication, but they are difficult to be executed when the number of projects increases. This work seeks to cover this gap by proposing a selection method that combines the return-risk assessment using mean-Gini approach, complemented by the application of the multi-criteria decision method PROMETHEE II. The result is the objective indication of the best project portfolio to be executed by the company.