A practical R%26D selection model using fuzzy pay-off method

作者：Hassanzadeh Farhad^*; Collan Mikael; Modarres Mohammad

来源：International Journal of Advanced Manufacturing Technology, 2012, 58(1-4): 227-236.

DOI：10.1007/s00170-011-3364-9

• R%26D portfolio selection
• Fuzzy optimization
• Real option valuation
• Fuzzy pay-off method

The aim of this paper is to develop a practical R%26D portfolio selection model that addresses effective R%26D project valuation issue, while it tackles R%26D uncertainty in portfolio optimization. Fuzzy sets theory is employed to capture and model the inaccuracy in project information. To avoid the well-known complications of fuzzy real option valuation, the fuzzy pay-off method is used to more effectively value R%26D projects. The resulting problem is formulated as a fuzzy zero-one integer programming model which is later transformed into a crisp mathematical formulation to solve the problem for various degrees of risk. A numerical example is used to illustrate the proposed approach.

• 出版日期2012-1