1 school of science and technology systems analysis laboratory graduate school seminar presentation...
DESCRIPTION
3 School of Science and Technology Systems Analysis Laboratory Value of Information in Portfolio Decision Analysis with Prof. Salo, Eeva Vilkkumaa, Antti Toppila Applying PDA is often evaluation intensive –Usually dozens of projects need to be evaluated w.r.t multiple attributes –Evaluation gives only incomplete information about the project value –Careful planning of evaluation processes can reduce evaluation costs Research questions –What is the value of additional information on project value? –How should resources be allocated between project funding and project evaluation? –Which project should be re-evaluated? –How does risk-aversion affect these results?TRANSCRIPT
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School of Science and TechnologySystems Analysis Laboratory
Graduate school seminar presentation 28.5.2010
Current research topics in Portfolio Decision Analysis (PDA)
Dr. Juuso LiesiöSystems Analysis Laboratory
Aalto University School of Science and TechnologyP.O. Box 11100, 00076 Aalto, Finland
http://[email protected]
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School of Science and TechnologySystems Analysis Laboratory
Multiattribute Project Portfolio Value Functions
Additive-linear value function standard in PDA-applications– Portfolio value is the sum of projects’ additive multiattribute values– Requires strong preference independence assumptions
» E.g., the increase in portfolio value when adding a new project into the portfolio is constant
– Evidence from applications suggests that often these assumptions do not hold
Research objectives– Relax the preference independence assumptions and derive corresponding
non-additive measurable portfolio value functions – Develop techniques to elicit such value functions– Develop integer programming algorithms to maximize portfolio value subject to
resource and other portfolio constraints
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School of Science and TechnologySystems Analysis Laboratory
Value of Information in Portfolio Decision Analysis with Prof. Salo, Eeva Vilkkumaa, Antti Toppila
Applying PDA is often evaluation intensive – Usually dozens of projects need to be evaluated w.r.t multiple attributes– Evaluation gives only incomplete information about the project value– Careful planning of evaluation processes can reduce evaluation costs
Research questions– What is the value of additional information on project value?– How should resources be allocated between project funding and project
evaluation?– Which project should be re-evaluated?– How does risk-aversion affect these results?
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School of Science and TechnologySystems Analysis Laboratory
Robust portfolio models in scenario planningwith Prof. Salo
Scenario building widely used to produce a structured view of
the uncertain future
PDA offers a quantitative framework to evaluate actions that
can be taken to prepare for the future– Scenario probabilities and actions impacts difficult to evaluate → Need to model incomplete information
Development of robust PDA models to support scenario
building and strategy generation processes– Collaboration with the International Institute of Applied Systems Analysis (IIASA)