Mathematical optimization methods: Application in project portfolio management

The project selection is a decision process that can be made by using mathematical optimization methods. The objective of this paper is to present a literature review of optimization methods and a practical use case in portfolio management area with the following objectives: - Maximizing the organization benefit (Direct and Indirect) - Minimize costs (Direct and Indirect) - Consider the constraints and strategic objectives. In this article we present two numerical methods of mathematical optimization problems, for one and multiple objectives (ILP, IGP), using the two values (0 and 1) as decision variables. This example is used to present several scenarios to decision makers to choose the best alternative (portfolio) that meets their expectations.