Information technology portfolio management proof of concept modern portfolio theory with KVA and ROI analysis
Loading...
Authors
Nelson, Marco
Subjects
Advisors
Housel, Thomas J.
Date of Issue
2001-12
Date
Publisher
Monterey, California. Naval Postgraduate School
Language
Abstract
The basic research question guiding this thesis is: "How can Modern Portfolio Theory (MPT) be defensibly applied to DoD Information Technology (IT) portfolio optimization problems?" The research will demonstrate how to derive the appropriate raw performance, volatility data, required to remain consistent with MPT assumptions and methodology. This thesis accomplishes this research objective by establishing a notional IT beta to apply a MPT approach for asset allocation within the Department of Defense (DoD). Data from three previous RFID implementation case studies were used, where the Knowledge Value Added (KVA) methodology was applied to estimate the return on investment (ROI) produced by IT. The KVA methodology is essential for the application of this thesis because it provides the framework for the allocation of surrogate revenue and cost streams into core processes where RFID technology was implemented. The ROI estimates of volatility act as a surrogate for equity price volatility, allowing application of the Modern Portfolio Theory (MPT) approach in the nonprofit sector.
Type
Thesis
Description
Series/Report No
Department
Information Technology Management
Organization
Naval Postgraduate School (U.S.)
Identifiers
NPS Report Number
Sponsors
Funding
Format
xiv, 57 p. : ill.
Citation
Distribution Statement
Approved for public release; distribution is unlimited.
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.