TY - GEN
T1 - The effect of positive quadrant dependence between projects on portfolio value
AU - Burke, John C.
AU - Shaw, Michael J.
PY - 2010
Y1 - 2010
N2 - Increasingly CIO's are interested in managing their IT Project Portfolios centrally. This may be done for a variety of reasons, e.g. to manage costs, reduce duplication of effort, reduce the number of silos in the organization, better understand what the firm is doing, or to align their IT investments with their firm's strategy. In particular, during this time of an economic downturn managers want to use their resources efficiently in response to tightening IT budgets. An important question then becomes how to value these projects. Real Option Analysis (ROA) has become one of the common tools used for valuing projects. However, the assumption of independence between projects often made by researchers may undervalue growth options under a wide variety of assumptions when these projects are positive quadrant dependent (PQD), a form of positive correlation.
AB - Increasingly CIO's are interested in managing their IT Project Portfolios centrally. This may be done for a variety of reasons, e.g. to manage costs, reduce duplication of effort, reduce the number of silos in the organization, better understand what the firm is doing, or to align their IT investments with their firm's strategy. In particular, during this time of an economic downturn managers want to use their resources efficiently in response to tightening IT budgets. An important question then becomes how to value these projects. Real Option Analysis (ROA) has become one of the common tools used for valuing projects. However, the assumption of independence between projects often made by researchers may undervalue growth options under a wide variety of assumptions when these projects are positive quadrant dependent (PQD), a form of positive correlation.
KW - Copula
KW - Portfolio Management
KW - Project Management
UR - http://www.scopus.com/inward/record.url?scp=79551526134&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=79551526134&partnerID=8YFLogxK
U2 - 10.1007/978-3-642-17449-0_26
DO - 10.1007/978-3-642-17449-0_26
M3 - Conference contribution
AN - SCOPUS:79551526134
SN - 3642174485
SN - 9783642174483
T3 - Lecture Notes in Business Information Processing
SP - 254
EP - 268
BT - Exploring the Grand Challenges for Next Generation E-Business - 8th Workshop on E-Business, WEB 2009, Revised Selected Papers
PB - Springer
ER -