The effect of positive quadrant dependence between projects on portfolio value

John C. Burke, Michael J. Shaw

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

Abstract

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.

Original languageEnglish (US)
Title of host publicationExploring the Grand Challenges for Next Generation E-Business - 8th Workshop on E-Business, WEB 2009, Revised Selected Papers
PublisherSpringer-Verlag
Pages254-268
Number of pages15
ISBN (Print)3642174485, 9783642174483
DOIs
StatePublished - Jan 1 2010

Publication series

NameLecture Notes in Business Information Processing
Volume52 LNBIP
ISSN (Print)1865-1348

Keywords

  • Copula
  • Portfolio Management
  • Project Management

ASJC Scopus subject areas

  • Management Information Systems
  • Control and Systems Engineering
  • Business and International Management
  • Information Systems
  • Modeling and Simulation
  • Information Systems and Management

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