项目组合管理（PPT 37页）

ProjectPortfolioManagementAnIntroduction项目管理者联盟,MYPM.NET2ContentEmergenceofProjectPortfolioManagement(PPM)PortfolioManagementinFinancialMarketOverviewofPPMPPM,ProcessandTechniques3TheEmergenceofProjectPortfolioManagement1952,ModernPortfolioTheory(MPT),HarryMarkowitz,JournalofFinance,PortfolioSelection1990,HarryMarkowitzsharedNobelPrize,dominantapproachusedtomanageriskandreturnwithinfinancialmarkets1981,F.WarrenMcFarian,PortfolioApproachtoInformationSystems,HBR,toemployarisk-basedapproachtotheselectionandmanagementofITprojects.1990s,abroaderuseofideasofportfoliomanagement1998,JohnThorp,TheInformationParadox.Portfoliomanagementwasusedtomanageriskandmaximizereturnalonganumberofdimensions.Present,portfoliomanagementascentralelementsofgoodinvestmentmanagement4PortfolioManagement,theoverallpictureFocus(StrategicPlanning)Source:PMSolutions,PortfolioManagement,DianneBridgesSelect(PortfolioManagement)Manage(ProjectManagement)5ContentEmergenceofProjectPortfolioManagement(PPM)PortfolioManagementinFinancialMarketOverviewofPPMPPM,ProcessandTechniques6TheOldPhilosophyaboutPortfolioDon’tputallyoureggsinonebasket.Riskaversionseemstobeaninstinctivetraitinhumanbeings.7ReturnandRiskinFinancialMarketexpectedreturnstandarddeviation(%)capitalappreciationgrowthofincome06121824303620181614121086420incomeinflationT-billsintermediate-termgovernmentbondslong-termgovernmentbondslong-termcorporatebondslargecompanystockssmallcompanystocksstabilityofprincipal8ixRExREiniiiportfoliosecurityininvestedproportionthewhere1TheRoleofCombiningSecuritiesTheexpectedreturnofaportfolioisaweightedaverageofthecomponentexpectedreturns.TheRoleofCombiningSecurities10baabbabbaapxxxx222222baiixabiipandbetweentcoefficienncorrelatiostockofdeviationstandardstockininvestedportfolioofproportionvarianceportfoliowhere2two-securityportfoliorisk=riskA+riskB+interactiveriskniix11,Thetotalriskofaportfoliocomesfromthevarianceofthecomponentsandfromtherelationshipsamongthecomponents.10TheRoleofCombiningSecuritiesexpectedreturnriskbetterperformanceAportfoliodominatesallothersifnootherequallyriskyportfoliohasahigherexpectedreturn,orifnoportfoliowiththesameexpectedreturnhaslessrisk.Thepointofdiversificationistoachieveagivenlevelofexpectedreturnwhilebearingtheleastpossiblerisk.11TheEfficientFrontier:OptimumDiversificationofRiskyAssetsexpectedreturnrisk(standarddeviationofreturns)impossibleportfoliosdominatedportfoliosefficientfrontierTheoptimalcombinationsresultinlowestlevelofriskforagivenreturnTheoptimaltrade-offisdescribedastheefficientfrontier12TheEfficientFrontiervsNaiveDiversificationAsportfoliosizeincreases,totalportfoliorisk,onaverage,declines.Afteracertainpoint,however,themarginalreductioninriskfromtheadditionofanothersecurityismodest.totalriskNon-diversifiablerisknumberofsecuritiesNaivediversificationistherandomselectionofportfoliocomponentswithoutconductinganyserioussecurityanalysis.13RiskReductionwithDiversificationNumberofSecuritiesSt.DeviationMarketRiskUniqueRisk14Marketorsystematicrisk:riskrelatedtothemacroeconomicfactorormarketindexUnsystematicorfirmspecificrisk:risknotrelatedtothemacrofactorormarketindexTotalrisk=Systematic+UnsystematicComponentsofRisk15Two-SecurityPortfolioswithDifferentCorrelations=113%%8E(r)St.Dev12%20%=.3=-1=-116Relationshipdependsoncorrelationcoefficient-1.0+1.0Thesmallerthecorrelation,thegreatertheriskreductionpotentialIf=+1.0,noriskreductionispossiblePortfolioRisk/Return,CorrelationEffects17StructuringaPortfolio:AssetAllocationattitudetowardriskneedforreturnrealizedreturnandriskwiththepassageoftimestocksbondsrealestatecashforeignequitiesPortfolioASSETCLASSESindividualchoiceassetclassmixinvestmentresults18ContentEmergenceofProjectPortfolioManagement(PPM)PortfolioManagementinFinancialMarketOverviewofPPMPPM,ProcessandTechniques19WhatisprojectportfoliomanagementPortfolioManagementistheprojectselectionprocessandinvolvesidentifyingopportunities:assessingtheorganizationalfit;analyzingthecosts,benefits,andrisks;anddevelopingandselectingaportfolio.Theartofprojectportfoliomanagementis:doingtherightthing,selectingtherightmixofprojectsandadjustingastimeevolvesandcircumstancesunfold.20PortfolioManagementis:Defininggoalsandobjectives–clearlyarticulatewhattheportfolioisexpectedtoachieveUnderstanding,accelerating,andmakingtradeoffs–determinehowmuchtoinvestinonethingasopposedtosomethingelseIdentifying,eliminating,minimizing,anddiversifyingrisk–selectamixofinvestmentsthatwillavoidunduerisk,willnotexceedacceptablerisktolerancelevels,andwillspreadrisksacrossprojectsandinitiativestominimizeadverseimpactsMonitoringportfolioperformance–understandtheprogressthattheportfolioismakingtowardtheachievementofthegoalsandobjectivesAchievingadesiredobjective–havetheconfidencethatthedesiredoutcomewilllikelybeachievedgiventheaggregateofinvestmentsthataremade21PortfolioManagementisNotDoingaseriesofproject–specificcalculationsandanalyses,suchasreturnoninvestment,benefit-costanalysis,netpresent