Forthcoming in Operations Research
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چکیده
Methods for selecting a research and development (R&D) project portfolio have attracted considerable interest among practitioners and academics. This notwithstanding, the industrial uptake of these methods has remained limited, partly due to the difficulties of capturing relevant concerns in R&D portfolio management. Motivated by these difficulties, we develop Contingent Portfolio Programming (CPP) which extends earlier approaches in that it (i) uses states of nature to capture exogenous uncertainties, (ii) models resources through dynamic state variables, and (iii) provides guidance for the selection of an optimal project portfolio that is compatible with the decision maker’s risk attitude. Although CPP is presented here in the context of R&D project portfolios, it is applicable to a variety of investment problems where the dynamics and interactions of investment opportunities must be accounted for.
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