A NEW MULTI-OBJECTIVE OPTIMIZATION APPROACH FOR SUSTAINABLE PROJECT PORTFOLIO SELECTION: A REALWORLD APPLICATION UNDER INTERVAL-VALUED FUZZY ENVIRONMENT

Organizations need to evaluate project proposals and select the ones that are the most effective in reaching the strategic goals by considering sustainability issue. In order to enhance the effectiveness and the efficiency of project oriented organizations, in this paper a new multi-objective decision making (MODM) approach of sustainable project portfolio selection is proposed which applies interval-valued fuzzy sets (IVFSs) to consider uncertainty. In the proposed approach, in addition to sustainability criteria, other practical criteria including non-financial benefits, strategic alignment, organizational readiness and project risk are incorporated. The presented approach consists of three main parts: In the first part, a novel composite risk return index based on the IVFSs is introduced and used to form the first model to evaluate the financial return and risk of the proposed projects. In the second part, a new risk reduction compromise ratio model is introduced to evaluate projects versus non-financial criteria. Finally, an MODM model is presented to form the overall objective function of the approach. In order to make the approach more suitable for real-world situations, a group of applicable constraints is included in the proposed approach. The constraints are based on limitations and issues existing in practical project portfolio management. Due to importance of uncertainty and risk in project portfolio selection, they are addressed separately in three parts of the approach. In the first part, a novel downside risk measure is introduced and applied to assess financial risk of projects. In the second part of the approach, not only project risk is accounted for as a criterion, but also a new method is introduced to control and limit the risk of uncertainty and to use the advantages of IVFSs. Finally, the proposed IVF-MODM approach is applied to select the optimal sustainable project portfolio in real case study of a holding company in a developing country. The results show that the approach can successfully address highly uncertain environments. Moreover, risk has been fully explored from different perspectives. Eventually, the approach provided the decision makers with more flexibility in focusing on financial and non-financial criteria in the selection process.

Keywords:

Sustainable project portfolio selection , Multi-objective optimization , Interval-valued fuzzy sets (IVFSs) , Risks and uncertainties , Holding companies