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1、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 Marke
2、tnOverview 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 a
3、nd 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 mana
4、gement 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, Di
5、anne 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
6、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-billsintermed
7、iate-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
8、 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 betterperforma
9、nceu 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
10、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 a
11、s 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 riskN
12、on-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
13、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 Diffe
14、rent 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:
15、/ 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 Portf
16、olio 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
