Asymmetric correlation in IT project portfolio management

John Burke, Michael Shaw

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Real Option Analysis (ROA) has been a focus of the MIS literature for the last ten years. Much of this literature has focused on (1) the suitability of using ROA in IS/IT; (2) case studies examining single projects; (3) real options embedded in projects; (4) the Black Scholes or Binomial option models; and (5) developing models to account for sources of variability. In this paper we investigate (5) above by taking a portfolio view of an organization's IT/IS projects. We assume that both costs and revenues behave stochastically. We use the concept of an IT Project Portfolio Map to divide the portfolio into different sections by the relative size of project costs and revenues. Finally, we introduce the idea of asymmetric correlation in these different areas of the portfolio. The importance of asymmetric correlation and the dependence structure of a portfolio in general stems from the idea that projects that have uncorrelated costs and revenues are more valuable then projects with highly correlated costs and revenues.

Original languageEnglish (US)
Title of host publication15th Americas Conference on Information Systems 2009, AMCIS 2009
Number of pages1
StatePublished - Dec 1 2009
Event15th Americas Conference on Information Systems 2009, AMCIS 2009 - San Francisco, CA, United States
Duration: Aug 6 2009Aug 9 2009

Publication series

Name15th Americas Conference on Information Systems 2009, AMCIS 2009
Volume3

Other

Other15th Americas Conference on Information Systems 2009, AMCIS 2009
CountryUnited States
CitySan Francisco, CA
Period8/6/098/9/09

ASJC Scopus subject areas

  • Computer Science Applications
  • Computer Networks and Communications
  • Information Systems
  • Library and Information Sciences

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  • Cite this

    Burke, J., & Shaw, M. (2009). Asymmetric correlation in IT project portfolio management. In 15th Americas Conference on Information Systems 2009, AMCIS 2009 (15th Americas Conference on Information Systems 2009, AMCIS 2009; Vol. 3).