Devising a fuzzy stakeholder model for optimizing the portfolio of projects at a fishing industrial enterprise taking risks into account

Authors

DOI:

https://doi.org/10.15587/1729-4061.2019.176319

Keywords:

project portfolio optimization, accounting of stake¬holder requirements, utility function, fuzzy model

Abstract

The method for portfolio investment, allowing the formation of the optimal portfolio structure considering degrees of satisfaction of requirements of stakeholder groups, risks and uncertainty of external and internal environment, was proposed. The model that represents a fuzzy nonlinear programming problem was considered. The weighted average of project utility is used as objective function. The utilities of projects are multiplicative Cobb-Douglas type functions using, along with financial indicators, expert verbal evaluations of qualitative indi­cators of satisfaction of stakeholder requirements, converted into fuzzy numbers. Exponents in this function reflect the significance of stake­holders for the organization in terms of the existing resource sharing between a company and a stakeholder and the degree of mutual influ­ence. Quantitative accounting of risks is implemented based on the H. Markowitz approach and the scenario-based method. Uncertainty and lack of information for the indicator of economic efficiency of projects is modeled through the use of the fuzzy approach. Constraints in the model are also fuzzy. The transforming from a fuzzy optimization problem into a crisp problem is performed by assigning the satisfac­tion degrees for an objective function and the constraints. The choice of a certain satisfaction degree also makes it possible to some extent to take into account uncertainty, which, in turn, affects the composition of the portfolio. The solution to the model is found numerically using the proposed method, which allows, based on fuzzy utilities, finding fuzzy objective function and constraints, and transforming a fuzzy model into a crisp quadratic programming problem at specified satisfaction degrees. The example of the formation of an optimal portfolio of investment projects of a fishing industrial enterprise was explored.

Author Biographies

Elena Likhosherst, Vladivostok State University of Economics and Service Gogolya str., 41, Vladivostok, Primorsky Krai, Russia, 690014

Postgraduate student

Department of Mathematics and Modeling

Lev Mazelis, Vladivostok State University of Economics and Service Gogolya str., 41, Vladivostok, Primorsky Krai, Russia, 690014

Doctor of Economic Sciences, Head of Department

Department of Mathematics and Modeling

Konstantin Solodukhin, Vladivostok State University of Economics and Service Gogolya str., 41, Vladivostok, Primorsky Krai, Russia, 690014

Doctor of Economic Sciences, Professor

Department of Mathematics and Modeling

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Published

2019-08-20

How to Cite

Likhosherst, E., Mazelis, L., & Solodukhin, K. (2019). Devising a fuzzy stakeholder model for optimizing the portfolio of projects at a fishing industrial enterprise taking risks into account. Eastern-European Journal of Enterprise Technologies, 4(3 (100), 36–45. https://doi.org/10.15587/1729-4061.2019.176319

Issue

Vol. 4 No. 3 (100) (2019): Control processes

Section

Control processes

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Copyright (c) 2019 Elena Likhosherst, Lev Mazelis, Konstantin Solodukhin

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