Purpose: This study aims to deal with a project portfolio selection problem aiming to maximize the net present value of the project portfolio and minimize the resource usage variation between successive time periods. Design/methodology/approach: A bi-objective mixed integer programming model is...

This paper develops a method to characterize the dynamic behavior of statistically dependent returns of assets via a scenario set. The proposed method uses heteroskedastic time series to model serial correlations of returns, as well as Cholesky decomposition to generate the set of scenarios such...