Multicriteria optimization of interdependent project portfolios with 'a priori' incorporation of decision maker preferences

One of the most important management issues lies in determining the best portfolio of a given set of investment proposals. This decision involves the pursuit of multiple criteria, and has been commonly addressed by implementing a two-phase procedure whose first step identifies the efficient solution space. In this paper we introduce our algorithm called Non-Outranked Ant Colony Optimization (NO-ACO) that optimizes portfolios with interprojects interactions whilst takes into account the DM's preferences by incorporating a priori preferences articulation. Experimental tests show the advantages of our proposal over the two-phase approach. Also, NO-ACO performed particularly well for problems with high dimensionality.