A modular Decision Support System for optimum investment selection in presence of uncertainty: Combination of fuzzy mathematical programming and fuzzy rule based system

In this paper, we have developed a modular Decision Support System (DSS) in order to select an optimum portfolio of several chances for investments in presence of uncertainty. The investments are considered as the projects so as their initial investment costs, profits, resource requirement, and total available budget are assumed to be uncertain. This uncertainty has been modeled using fuzzy concepts. The proposed DSS has two main modules. The first one is a fuzzy binary programming model which represents the mathematical model of the associated fuzzy capital-budgeting problem. It involves finding optimum combination of investment portfolio considering a multi-objective measurement function and subject to several set of constraints. The results of optimistic and pessimistic analysis of the aforementioned fuzzy binary programming model plus a managerial Confidence Level (CL) value are treated as input of a fuzzy rule based system which is the second module of the proposed DSS. Although some projects are simple to make a decision about at the final step of the first module but the unique output of the second module of the proposed DSS is Risk of Investment (ROI) for all remained project. The logic relations between precedence parts of the rules as well as CL value will work in favor of computational efforts in second module through diminishing some unessential rules. This will help to define a complete set of fuzzy IF-THEN rules more efficiently. The proposed DSS can help the decision makers to select an optimum investment portfolio with minimum risk in a complete ambiguous condition. (C) 2010 Elsevier Ltd. All rights reserved.