Multi-objective R and D portfolio selection optimization under uncertainty

To solve the R and D portfolio selection under uncertainty, fuzzy set theory is applied to deal with project's uncertainty parameters. A multi-objective mathematical model is constructed, which simultaneously optimizes benefit with fuzzy real option, risk with fuzzy entropy, and cost with fuzzy net present value. A crisp transformation is implemented with the fuzzy model based on qualitative possibility theory and an improved multi-objective Pareto genetic algorithm is presented. Finally, a simulation experiment is carried out to illustrate that the proposed method could solve multi-objective R and D portfolio selection effectively.