A fuzzy approach to R&D project portfolio selection

A1 Journal article (refereed)


Internal Authors/Editors


Publication Details

List of Authors: Carlsson Christer, Fúller Robert, Heikkilä Markku, Majlender Péter
Publisher: Elsevier
Publication year: 2007
Journal: International Journal of Approximate Reasoning
Volume number: 44
Issue number: 2
Start page: 93
End page: 105
eISSN: 1873-4731


Abstract

A major advance in the development of project selection tools came with the application of options reasoning in the field of Research and Development
(R&D). The options approach to project evaluation seeks to correct
the deficiencies of traditional methods of valuation through the
recognition that managerial flexibility can bring significant value to
projects. Our main concern is how to deal with non-statistical
imprecision we encounter when judging or estimating future cash flows.
In this paper, we develop a methodology for valuing options on R&D
projects, when future cash flows are estimated by trapezoidal fuzzy
numbers. In particular, we present a fuzzy mixed integer programming
model for the R&D optimal portfolio selection problem, and discuss
how our methodology can be used to build decision support tools for
optimal R&D project selection in a corporate environment.


Keywords

Fuzzy numbers, Real option valuation

Last updated on 2019-23-09 at 05:31