On the Subject of Yan Gelrud’s paper titled “The algorithm for generating an optimal investment portfolio” in the October edition


5 October 2014

Managing Editor,

I read Professor Yan Gelrud’s paper on “The algorithm for generating an optimal investment portfolio” with great interest. If I could replicate the mathematics faithfully, it would certainly help me with my financial investment portfolio.

However, the nature of a financial investment portfolio is rather different from a portfolio of potential projects, so I am not sure that the same math would apply, which I presumed was the intent?

For one thing, projects are measured in blocks of completed projects and are not flexible in terms of varying purchasable amounts. That makes devising any sort of “balanced” portfolio difficult. For another, projects are much more risky, especially in the formulation stage when they exist only in the minds of the proponents or sponsors, likely with little or no track record. And for yet another, projects in their making are hedged by politics.

Nevertheless, anyone who can come up with some sort of practical formula for even doing a first rough cut at project selection would, I am sure, be very much welcomed by the project management risk industry.

Best regards,

Max Wideman

Vancouver, BC, Canada