A real options approach for valuating intertemporal interdependencies within a value-based IT portfolio management - A risk-return perspective

Value-based IT portfolio management requires the consideration of intertemporal interdependencies that may exist among IT projects. Therefore, several papers suggest adopting the real options approach in order to include intertemporal interdependencies within the valuation of IT projects. However, this paper shows that the standard Black-Scholes model, which is often used for valuating real options, is not appropriate to correctly account for project-specific private risks due to its restrictive assumptions. Since this can have major impacts on the value of IT projects, we develop an approach – based on the Black-Scholes model – to consider private risks properly within project valuation. A comparison of the results of the standard Black-Scholes model used today and our approach finally reveals that the neglect of private risks results in a systematic underestimation of both risk and return of IT projects, which may lead to wrong investment decisions

Portfoliomanagement with illiquid assets particularly IT investments

Ziel dieser Dissertationsschrift ist es, einen Beitrag zum Portfoliomanagement mit illiquiden Assets zu leisten. Dabei stehen zwei zentrale Fragestellungen im Fokus. Zum einen widmet sie sich der allgemeinen Berücksichtigung illiquider Finanzanlagen bei der Portfoliorealisierung privater Anleger unter Beachtung von Liquiditätsanforderungen, zum anderen der korrekten Bewertung von IT-Investitionen, als spezielle illiquide Assets im Sinne einer wertorientierten Unternehmensführung, als Basis für ein umfassendes IT-Portfoliomanagement.This dissertation wants to contribute to portfolio management with illiquid assets. Two central research questions are investigated. First, it focuses on the general consideration of illiquid financial assets in the portfolio realization of private investors taking liquidity requirements into account. Second, it contributes to the correct evaluation of IT investments, considered as special illiquid assets in terms of a value-oriented corporate governance, as the basis for a comprehensive IT portfolio management