Mathematical model of optimal project portfolio forming based on random factors
Purpose. To identify the ways of perspective development for railway transport one should solve the problem of forming the investment project portfolio. Thus, it is necessary to deal with uncertainty in the input data (prices of services, materials, energy products). To take into account this uncertainty it is proposed to use the developed model of stochastic programming. Methodology. For accounting of uncertain data the probabilistic limits on the quantities of resources, which are used in the project portfolio are imposed. As the objective function it is proposed to maximize the threshold, which with a given probability may exceed the planning interval of the net income. Findings. Stochastic programming model with line-by-line probabilistic constraints was obtained. Coefficients of this model are normally distributed random variables. Ratios, which allow calculating mathematical expectations and covariance matrices of these coefficients, were concluded. Originality. Known methods of forming the optimal project portfolio are based on the fact that all inputs are known exactly. On the basis of this consideration, the authors of works on the creating an optimal project portfolio have come to a scheme of deterministic mathematical programming. In this article we propose to take into account the uncertainty in the input data, which will increase the reliability of the portfolio effectiveness estimation through the use of stochastic mathematical programming scheme. Practical value. The developed model can be used in order to solve the planning problems of railway transport development.
Full Text:PDF (Русский)
Bushuiev, S.D. Chasova optymizatsiia portfelia realnykh investytsiinykh proektiv [Time optimization of real investment portfolio projects]. Zbirnyk naukovykh prats Skhidnoukrainskoho natsionalnoho universytetu im. V. Dalia: «Upravlinnia proektamy ta rozvytok vyrobnytstva» [Proc. of Bulletin of Volodymyr Dahl East Ukrainian National University «Project management and development of production»], 2007, no. 2 (22), pp. 36-47.
Korkhin A.S., Minakova O.P. Kompyuternaya statistika. Chast 2 [Computer statistics. Part 2]. Dnipropetrovsk, NGU Publ., 2009. 239 p.
Korkhina I.A., Malyy V.V. O prognozirovanii tsen dlya otsenki effektivnosti proyektov [Predicting the prices to assess the effectiveness of projects]. Teoriia ta praktyka metalurhii −Theory and Practice of Metallurgy, 2011, no. 5-6 (part II), pp. 125-131.
Korkhina I.A. Metod formirovaniya optimalnogo portfelya investitsionnykh proyektov predpriyatiya na osnove dinamicheskoy modeli [The method of forming the optimal investment project portfolio for the enterprise on the basis of dynamic model]. Naukovyi visnyk natsionalnoho hirnychoho universytetu [Bulletin of the National Mining University], 2013, no. 5, pp. 104-111.
Korkhina I.A. Odin metod formirovaniya optimalnogo portfelya proyektov razvitiya predpriyatiya [One method of forming the optimal portfolio of enterprise development]. Skhidno-Yevropeiskyi zhurnal peredovykh tekhnolohii − Eastern and European Journal of Advanced Technologies, 2012, no. 2/2 (56), pp. 34-37.
Mikhaylova T.M., Karavayeva M.S. Razrabotka modeli planirovaniya effektivnogo rasshireniya proizvodstva [Planning model development of effective production expansion]. Visnyk Dnipropetrovskoho natsionalnoho universytetu zaliznychnoho transportu imeni akademika V. Lazariana [Bulletin of Dnipropetrovsk National University of Railway Transport named after Academician V. Lazaryan], 2010, issue 34, pp.189-192.
Myamlin S.V., Blokhina A.S., Tsechoyeva Z.Kh. Otsenka ekonomicheskoy effektivnosti investitsionnogo proyekta dlya zheleznodorozhnogo transporta s ispolzovaniyem razlichnykh metodov [Assessment of the economic efficiency of the investment project for railway transport using different methods]. Visnyk Dnipropetrovskoho natsionalnoho universytetu zaliznychnoho transportu imeni akademika V. Lazariana [Bulletin of Dnipropetrovsk National University of Railway Transport named after Academician V. Lazaryan], 2010, issue 32, pp. 268-273.
Sadlovska І.P. Tendentsii rozvytku zaliznychnoho transportu Ukrainy [Development trends of Railway Transport in Ukraine]. Visnyk Dnipropetrovskoho natsionalnoho universytetu zaliznychnoho transportu imeni akademika V. Lazariana [Bulletin of Dnipropetrovsk National University of Railway Transport named after Academician V. Lazaryan], 2011, issue 37, pp. 295-297.
Razu M.L. Upravleniye proyektom. Osnovy proyektnogo upravleniya [Project management. Fundamentals of Project Management]. Moscow, KNORUS Publ., 2010. 768 p.
Yudin D.B. Matematicheskiye metody upravleniya v usloviyakh nepolnoy informatsii [Mathematical methods of control under incomplete information conditions]. Moscow, Sovetskoye radio Publ., 1974. 400 p.
Knopov P.S., Korkhin A.S. Regression Analysis Under a Priori Parameter Restrictions. New York, Springer Publ., 2011. 250 p.
Lee J., Leyffe S. Mixed Integer Nonlinear Programming. New York, Springer Publ., 2012. 690 p.
Radulescu C.Z., Radulescu M. Project Portfolio Selection Models and Decision Support. Available at: http://sic.ici.ro/sic2001_4/art03.html (Accessed 17 December 2013).
GOST Style Citations
1. ANALYSIS ON THE USAGE OF DECISION-MAKING METHODS IN PROJECT MANAGEMENT
I. V. Trifonov, I. A. Korkhina
Science and Transport Progress. Bulletin of Dnipropetrovsk National University of Railway Transport Issue: 1(67) First page: 63 Year: 2017
This work is licensed under a Creative Commons Attribution 4.0 International License.
ISSN 2307–3489 (Print)
ІSSN 2307–6666 (Online)