Portfolio risk management: A simulation-based model for portfolio cost management

Mohamad Kassem, Ammar Al-Bazi

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

Abstract

We present a simulation-based risk model to analyse the impact of multiple risks on the cost performance of portfolios. The model considers the combined impact of risks affecting the work packages of portfolio's projects and the probabilistic occurrence of each risk. We test the model in a portfolio composed of four construction projects and we show that the model is able to: predict the effect of identified risks on the portfolio cost performance and aid the decision making process of responding to risks. The limitation of the proposed model is that it calculates the impact of risks at a specific date when each risk has a defined probabilistic distribution. In future work we will consider the dynamic nature of risks to enable the model to cope with the changing attributes of risks.

Original languageEnglish
Title of host publicationOR55 Keynotes and Extended Abstracts - 55th Conference of the Operational Research Society 2013
Pages110-114
Number of pages5
Publication statusPublished - 25 Mar 2013
Externally publishedYes
Event55th Annual Conference of the Operational Research Society 2013, OR55 - Exeter, United Kingdom
Duration: 3 Sep 20135 Sep 2013

Publication series

NameOR55 Keynotes and Extended Abstracts - 55th Conference of the Operational Research Society 2013

Conference

Conference55th Annual Conference of the Operational Research Society 2013, OR55
CountryUnited Kingdom
CityExeter
Period3/09/135/09/13

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