A branch and bound heuristic algorithm to solve project portfolio selection problem under reinvestment strategy

The project portfolio selection problem (PPSP) arises in economics and finance. Various formulations of the PPSP are proposed based mainly on integer programming techniques. The PPSP is known to be NP-hard. Therefore, standard optimization techniques (SOT) can only solve small instances of the problem in reasonable time. For larger and more complex instances such as when there is no precedence relation between the projects and the profits yielded by the execution of some projects are allowed to be reinvested in new projects, SOT fail to provide solutions in acceptable time. For such problems, we propose a heuristic solution procedure based on branch and bound algorithm which provides good quality solutions in compatible running times. In order to demonstrate the applicability and efficacy of our proposed solution procedure, we generate and solve a number of large test problems.