Özpeynirci, SelinÖzpeynirci, ÖzgürMousseau, Vincent2023-06-162023-06-162022-060305-05481873-765Xhttps://doi.org/10.1016/j.cor.2022.105705https://hdl.handle.net/20.500.14365/1159We consider a resource allocation problem in which the decision maker is responsible for selecting a group of projects to generate a portfolio, with the aim of maximizing the total benefit, and distributing the budget in a balanced way across different categories. We assume that the decision maker defines an interval for the desired share of each category. We propose augmented epsilon-constraint method to generate the nondominated solutions considering two objective functions: total benefit and balance among categories. The solution time increases with the problem size, and augmented epsilon-constraint method fails to find all nondominated solutions. We therefore develop a variable neighborhood search algorithm for the purpose of generating the nondominated frontier. Our computational experiments show that the nondominated frontier can be accurately estimated with respect to different performance measures.eninfo:eu-repo/semantics/closedAccessPortfolio selectionAugmented epsilon-constraint methodVariable neighborhood searchResearch-And-DevelopmentVariable Neighborhood SearchSupport SystemInformationAugmented ε-Constraint MethodArticle10.1016/j.cor.2022.1057052-s2.0-85124278223