Application of Fuzzy Set Theory and Multiobjective Decision Making in Project Portfolio Selection

應用模糊理論及多目標決策於投資計畫組合之選擇

譚伯群(Bertram Tan) ； 林清河(Chin-Ho Lin) ； 謝秉蓉(Ping-Jung Hsieh)

《臺大管理論叢》 13卷2期 (2003/06) Pp. 101-135

https://doi.org/10.6226/NTURM2003.13.2.101

摘要

對於許多組織，投資計畫的選擇是一項重要的活動，它牽涉到很多決策的過程。本文提出一個整合方法，利用模糊理論結合投資組合矩陣及策略計劃可行性分析，提供經理人更了解公司事業組合之競爭能力，除此之外，多目標線性規劃的方法協助經理人利用投資組合矩陣分析、策略計劃可行性分析資料及其他財務資料，進一步的選出投資計畫。本文提出的整合方法優點在於以下：1.模糊理論具有解決不確定性、能夠表達不同評估者不同信心程度及樂觀程度的特性；2.利用模糊規劃的方法解決多目標線性規劃的問題，可以在滿足多目標之間，尋求平衡並找到最佳妥協點。最後，本文以實際的例子說明本方法的應用過程。雖然本文是以投資組合矩陣應用於實際例子，但其他的策略矩陣亦可以應用本文所提出之整合方法，有效率的進行策略決策。

關鍵字

多目標決策 ； 投資計畫的選擇 ； 模糊規劃

並列摘要

Portfolio selection for strategic management is a crucial activity in many organizations, and it is concerned with a complex process that involves many decision-making situations. In the study, we propose a systematic approach that incorporates fuzzy set theory in conjunction with portfolio matrices to assist managers in reaching a better understanding of the overall competitiveness of their businesses' portfolios. We also present a multiobjective linear programming (MOLP), which helps to select strategic plans by using the result derived from the previous portfolio analysis and other financial data. The proposed approach has the advantage of dealing with the uncertainty problem of linguistic terms, providing a technique that presents the diversity of confidence level and optimism level of decision makers. Furthermore, solving MOLP by using fuzzy programming offers an effectively quantitative method for managers to balance the satisfaction of multiple objectives and allocate constrained resources optimally among proposed strategies. An illustration from a real-world situation demonstrates the approach. Although a particular portfolio matrix model was adopted in our research, the procedure proposed here can be modified to incorporate other portfolio matrices.

並列關鍵字

Multiple objective decision making ； Project portfolio selection ； Fuzzy programming

參考文獻

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