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Nonadditive Multiattribute Utility Functions for Portfolio Decision Analysis

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dc.contributor Aalto-yliopisto fi
dc.contributor Aalto University en
dc.contributor.author Liesiö, Juuso
dc.contributor.author Vilkkumaa, Eeva
dc.date.accessioned 2021-04-07T06:30:46Z
dc.date.available 2021-04-07T06:30:46Z
dc.date.issued 2021-11
dc.identifier.citation Liesiö , J & Vilkkumaa , E 2021 , ' Nonadditive Multiattribute Utility Functions for Portfolio Decision Analysis ' , Operations Research , vol. 69 , no. 6 , 34 , pp. 1886-1908 . https://doi.org/10.1287/opre.2020.2046 en
dc.identifier.issn 0030-364X
dc.identifier.other PURE UUID: 2690d078-4b2b-4e9d-ba87-d98cb7a2c945
dc.identifier.other PURE ITEMURL: https://research.aalto.fi/en/publications/2690d078-4b2b-4e9d-ba87-d98cb7a2c945
dc.identifier.other PURE LINK: http://www.scopus.com/inward/record.url?scp=85122069260&partnerID=8YFLogxK
dc.identifier.other PURE FILEURL: https://research.aalto.fi/files/78861221/opre.2020.2046.pdf
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/103517
dc.description.abstract Portfolio decision analysis models support selecting a portfolio of projects in view of multiple objectives and limited resources. In applications, portfolio utility is commonly modeled as the sum of the projects’ multiattribute utilities, although such approaches lack rigorous decision-theoretic justification. This paper establishes the axiomatic foundations of a more general class of multilinear portfolio utility functions, which includes additive and multiplicative portfolio utility functions as special cases. Furthermore, we develop preference elicitation techniques to assess these portfolio utility functions as well as optimization models to identify the most preferred portfolio in view of resource and other constraints. We also examine how the functional form of the portfolio utility function affects decision recommendations by using randomly generated and real problem instances. en
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher INFORMS Inst.for Operations Res.and the Management Sciences
dc.relation.ispartofseries Operations Research en
dc.rights openAccess en
dc.title Nonadditive Multiattribute Utility Functions for Portfolio Decision Analysis en
dc.type A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä fi
dc.description.version Peer reviewed en
dc.contributor.department Department of Information and Service Economy
dc.subject.keyword multiattribute utility theory
dc.subject.keyword portfolio decision analysis
dc.subject.keyword resource allocation
dc.identifier.urn URN:NBN:fi:aalto-202104072786
dc.identifier.doi 10.1287/opre.2020.2046
dc.type.version publishedVersion

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