Multi-criteria investment analysis under uncertainty

Ethem Tolga*, Cengiz Kahraman

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Citation (Scopus)


Summary form only given. A novel multi-criteria investment analysis under uncertainty is presented. The maximum entropy method has been used to establish the probability distribution. Entropy measures the amount of information that is available in a sequence of outcomes. A algorithm developed by U. Saxena has been used to find the means and variances. After calculating the means and variances, the expectation-variance measures, which involve reducing the economic desirability of a project into a single measure including consideration of the expected outcome as well as variation of that outcome, have been used in comparing each criterion of an investment with the same criterion of another investment. This comparison involves the weighting factors method. In the algorithm, it is supposed that the decision-maker is risk-averse and the criteria used in the algorithm are independent. The decision-maker must be consistent in deciding about the probability bounds and the relative weightings of the criteria.

Original languageEnglish
Title of host publication91 Portland Int Conf Manage Eng Technol
PublisherPubl by IEEE
Number of pages1
ISBN (Print)0780301617
Publication statusPublished - 1992
EventProceedings of the 1991 Portland International Conference on Management of Engineering and Technology - PICMET '91 - Portland, OR, USA
Duration: 27 Oct 199131 Oct 1991

Publication series

Name91 Portland Int Conf Manage Eng Technol


ConferenceProceedings of the 1991 Portland International Conference on Management of Engineering and Technology - PICMET '91
CityPortland, OR, USA


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