Asymmetric correlation in IT project portfolio management

John Burke; Michael Shaw

Asymmetric correlation in IT project portfolio management

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English (US)
Title of host publication	15th Americas Conference on Information Systems 2009, AMCIS 2009
Number of pages	1
State	Published - Dec 1 2009
Event	15th Americas Conference on Information Systems 2009, AMCIS 2009 - San Francisco, CA, United States Duration: Aug 6 2009 → Aug 9 2009

Publication series

Name	15th Americas Conference on Information Systems 2009, AMCIS 2009
Volume	3

Other

Other	15th Americas Conference on Information Systems 2009, AMCIS 2009
Country	United States
City	San Francisco, CA
Period	8/6/09 → 8/9/09

ASJC Scopus subject areas

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

Fingerprint Dive into the research topics of 'Asymmetric correlation in IT project portfolio management'. Together they form a unique fingerprint.

Cite this

@inproceedings{16eb6dd9d41043699091b94adde9d56c,

title = "Asymmetric correlation in IT project portfolio management",

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.",

author = "John Burke and Michael Shaw",

year = "2009",

month = dec,

day = "1",

language = "English (US)",

isbn = "9781615675814",

series = "15th Americas Conference on Information Systems 2009, AMCIS 2009",

booktitle = "15th Americas Conference on Information Systems 2009, AMCIS 2009",

note = "15th Americas Conference on Information Systems 2009, AMCIS 2009 ; Conference date: 06-08-2009 Through 09-08-2009",

}

TY - GEN

T1 - Asymmetric correlation in IT project portfolio management

AU - Burke, John

AU - Shaw, Michael

PY - 2009/12/1

Y1 - 2009/12/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=84870851669&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84870851669&partnerID=8YFLogxK

M3 - Conference contribution

AN - SCOPUS:84870851669

SN - 9781615675814

T3 - 15th Americas Conference on Information Systems 2009, AMCIS 2009

BT - 15th Americas Conference on Information Systems 2009, AMCIS 2009

T2 - 15th Americas Conference on Information Systems 2009, AMCIS 2009

Y2 - 6 August 2009 through 9 August 2009

ER -