TalentAllianz Management & Technology Co. Ltd.翰联世纪企业管理技术翰联世纪企业管理技术(北京北京)有限公司有限公司www.TalentA Project Portfolio ManagementAn Introduction李俊伟李俊伟 November 2002Beijing项目管理者联盟项目管理者联盟, MYPM.NET无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ of Project Portfolio Management (PPM)nPortfolio Management in Financial MarketnOverview of PPM nPPM, Process and Techniques无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ Emergence of Project Portfolio Managementn1952, Modern Portfolio Theory (MPT), Harry Markowitz, Journal of Finance, Portfolio Selectionn1990, Harry Markowitz shared Nobel Prize, dominant approach used to manage risk and return within financial marketsn1981, F.Warren McFarian, Portfolio Approach to Information Systems, HBR, to employ a risk-based approach to the selection and management of IT projects.n1990s, a broader use of ideas of portfolio management n1998, John Thorp, The Information Paradox. Portfolio management was used to manage risk and maximize return along a number of dimensions.nPresent, portfolio management as central elements of good investment management无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ Management, the overall pictureFocus(Strategic Planning )Source: PM Solutions, Portfolio Management, Dianne BridgesSelect(Portfolio Management)Manage(Project Management)无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ of Project Portfolio Management (PPM)nPortfolio Management in Financial MarketnOverview of PPM nPPM, Process and Techniques无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ Old Philosophy about Portfoliou Dont put all your eggs in one basket. uRisk aversion seems to be an instinctive trait in human beings.无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ and Risk in Financial Marketexpected returnstandard deviation (%)capital appreciationgrowth of income0 6 12 18 24 30 3620181614121086420incomeinflationT-billsintermediate-termgovernmentbondslong-termgovernment bondslong-termcorporate bondslarge company stockssmallcompanystocksstabilityof principal无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ Role of Combining SecuritiesuThe expected return of a portfolio is a weighted average of the component expected returns.The Role of Combining Securities10two-securityportfolio risk= riskA + riskB +interactiveriskuThe total risk of a portfolio comes from thevariance of the components and from the relationships among the components.无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ Role of Combining Securitiesexpected returnrisk betterperformanceu 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.u The point of diversification is to achieve a given level of expected return while bearing the least possible risk.无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ Efficient Frontier : Optimum Diversification of Risky Assetsexpected returnrisk (standard deviation of returns)impossibleportfoliosdominatedportfoliosefficient frontiernThe optimal combinations result in lowest level of risk for a given returnnThe optimal trade-off is described as the efficient frontier无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ Efficient Frontier vs Naive Diversificationu As portfolio size increases,total portfolio risk, on average, declines. After a certain point, however, the marginal reduction in risk from the addition of another security is modest.total riskNon-diversifiablerisknumber of securitiesu Naive diversification is the random selectionof portfolio components without conducting any serious security analysis.无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ Reduction with DiversificationNumber of SecuritiesSt. DeviationMarket RiskUnique Risk无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ or systematic risk: risk related to the macro economic factor or market indexnUnsystematic or firm specific risk: risk not related to the macro factor or market indexnTotal risk = Systematic + UnsystematicComponents of Risk无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ Portfolios with Different Correlations = 113%8E(r)St. Dev12%20% = .3 = -1 = -1无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ depends on correlation coefficientn-1.0 +1.0nThe smaller the correlation, the greater the risk reduction potentialnIf= +1.0, no risk reduction is possiblePortfolio Risk/Return, Correlation Effects无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ a Portfolio : Asset Allocationattitudetoward riskneed forreturnrealizedreturnand riskwith thepassageof timestocksbondsrealestatecashforeignequitiesPortfolioASSETCLASSESindividual choice asset class mix investment results无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ of Project Portfolio Management (PPM)nPortfolio Management in Financial MarketnOverview of PPM nPPM, Process and Techniques无忧资源：http:/ 中国最大最全的资源下载网教育新天地：http:/ is project portfolio managementnPortfolio Management is the project selection process and involves identifying opportunities: assessing the organizational fit; analyzing the costs, benefits, and risks; and developing and selecting a portfolio. nThe art of project portfolio management is: doing the right thing, selecting the right mix of projects and adju