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Project Portfolio Management An Introduction
Content
Emergence of Project Portfolio Management (PPM) Portfolio Management in Financial Market Overview of PPM PPM, Process and Techniques
4 T-bills
inflation
long-term government bonds
2 stability 0 of principal
income
0
6
12
18
24
30
36
standard deviation (%)
7
The Role of Combining Securities
The expected return of a portfolio is a weighted average of the component expected returns.
n
E Rportfolio xi E Ri
i 1
where xi the proportion invested in securityi
8
The Role of Combining Securities
The total risk of a portfolio comes from the variance of the components and from the relationships among the components.
2
The Emergence of Project Portfolio Management
1952, Modern Portfolio Theory (MPT), Harry Markowitz, Journal of Finance, Portfolio Selection
1990, Harry Markowitz shared Nobel Prize, dominant approach used to manage risk and return within financial markets
3
Portfolio Management, the overall picture
Focus
(Strategic Planning )
Select
(Portfolio Management)
Source: PM Solutions, Portfolio Management, Dianne Bridges
i standd aredviatoiofsntoci k abcorreln actiooeffict ibeentweaeannd b
10 9
The Role of Combining Securities
The point of diversification is to achieve a given level of expected return while bearing the least possible risk.
Manage
(Project Management)
4
Content
Emergence of Project Portfolio Management (PPM) Portfolio Management in Financial Market Overview of PPM PPM, Process and Techniques
better performance
A portfolio dominates all others if no other equally risky portfolio has a higher expected return, or if no portfolio with the same expected return has less risk.
expected return
20
small
18
capital appreciation
company stocks
16
14
12
10 intermediate-
8
term government
bonds
6
large company stocks
growth of income
long-term corporate bonds
1981, F.Warren McFarian, Portfolio Approach to Information Systems, HBR, to employ a risk-based approach to the selection and management of IT projects.
1990s, a broader use of ideas of portfolio management 1998, John Thorp, The Information Paradox. Portfolio
management was used to manage risk and maximize return along a number of dimensions. Present, portfolio management as central elements of good investment management
5
The Old Philosophy about Portfolio Don’t put all your eggs in one basket.
Risk aversion seems to be an instinctive trait in human beings.
6Fra Baidu bibliotek
Return and Risk in Financial Market
two-security
interactive
portfolio risk = riskA + riskB +
risk
p 2 x a 2a 2 x b 2b 2 2 x a x b aa b b , n x i 1
wherep 2 portfovlaioriance
i1
xi proporotifp oo nrtfoinlivoesitnesdtoci k
Project Portfolio Management An Introduction
Content
Emergence of Project Portfolio Management (PPM) Portfolio Management in Financial Market Overview of PPM PPM, Process and Techniques
4 T-bills
inflation
long-term government bonds
2 stability 0 of principal
income
0
6
12
18
24
30
36
standard deviation (%)
7
The Role of Combining Securities
The expected return of a portfolio is a weighted average of the component expected returns.
n
E Rportfolio xi E Ri
i 1
where xi the proportion invested in securityi
8
The Role of Combining Securities
The total risk of a portfolio comes from the variance of the components and from the relationships among the components.
2
The Emergence of Project Portfolio Management
1952, Modern Portfolio Theory (MPT), Harry Markowitz, Journal of Finance, Portfolio Selection
1990, Harry Markowitz shared Nobel Prize, dominant approach used to manage risk and return within financial markets
3
Portfolio Management, the overall picture
Focus
(Strategic Planning )
Select
(Portfolio Management)
Source: PM Solutions, Portfolio Management, Dianne Bridges
i standd aredviatoiofsntoci k abcorreln actiooeffict ibeentweaeannd b
10 9
The Role of Combining Securities
The point of diversification is to achieve a given level of expected return while bearing the least possible risk.
Manage
(Project Management)
4
Content
Emergence of Project Portfolio Management (PPM) Portfolio Management in Financial Market Overview of PPM PPM, Process and Techniques
better performance
A portfolio dominates all others if no other equally risky portfolio has a higher expected return, or if no portfolio with the same expected return has less risk.
expected return
20
small
18
capital appreciation
company stocks
16
14
12
10 intermediate-
8
term government
bonds
6
large company stocks
growth of income
long-term corporate bonds
1981, F.Warren McFarian, Portfolio Approach to Information Systems, HBR, to employ a risk-based approach to the selection and management of IT projects.
1990s, a broader use of ideas of portfolio management 1998, John Thorp, The Information Paradox. Portfolio
management was used to manage risk and maximize return along a number of dimensions. Present, portfolio management as central elements of good investment management
5
The Old Philosophy about Portfolio Don’t put all your eggs in one basket.
Risk aversion seems to be an instinctive trait in human beings.
6Fra Baidu bibliotek
Return and Risk in Financial Market
two-security
interactive
portfolio risk = riskA + riskB +
risk
p 2 x a 2a 2 x b 2b 2 2 x a x b aa b b , n x i 1
wherep 2 portfovlaioriance
i1
xi proporotifp oo nrtfoinlivoesitnesdtoci k