Journal of Finance and Investment Analysis

Project selection of robust portfolio models with incomplete information

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• Abstract

  Robust Portfolio Modeling (RPM) Theory is a decision-support methodology to analyze multiple criteria project portfolio problems. Liesioa et al [17] generalized RPM based on the appendix information, and studied the characteristics of non-inferior solution sets, but they did not compare the portfolio of each other in this non-inferior solution sets, and could not offer a precise decision. This paper considers this question, and gives a positive answer. The results posed in this paper can be regarded as a natural generalization of the work [17].