Date of Award
6-2023
Document Type
Thesis
Degree Name
Master of Science
Department
Department of Operational Sciences
First Advisor
Bruce A. Cox, PhD
Abstract
This thesis explores the application of Value Focused Thinking (VFT) and multi-objective portfolio optimization to create a well-aligned portfolio for an organization faced with over 50 alternatives and limited funding. A novel technique is proposed to develop an optimized portfolio based on VFT scores, utilizing heuristic approaches like evolutionary algorithms. The research outcomes include an optimized portfolio, the total value evaluation of alternatives, and a sensitivity analysis. The new approach outperforms the organization’s previous method, resulting in a portfolio that better addresses the organization’s core values and objectives, scoring 21.21% higher.
AFIT Designator
AFIT-ENS-MS-23-J-032
Recommended Citation
Martin, Tyler, "Portfolio Optimization using Value Focused Thinking" (2023). Theses and Dissertations. 7329.
https://scholar.afit.edu/etd/7329
Included in
Corporate Finance Commons, Other Operations Research, Systems Engineering and Industrial Engineering Commons
Comments
A 12-month embargo was observed.
Approved for public release. PA case number on file.