Shashank Pushkar

It Projects Portfolio Optimization with Real Option: a Mathematical Modelling Approach Shashank Pushkar

The book focuses on the development of multi-period mathematical optimization models for the optimal selection of Information Technology (IT) projects which are interdependent in nature. The models optimize the portfolio value within the given budgetary and sequencing constraints. These sequencing constraints are due to time wise interdependencies. Real Option valuation plays a crucial role in the valuation of the portfolio of interdependent projects. The book applies the Real Option analysis framework for the optimal funding decisions. It proposes a new tool for the IT funding decision which utilizes the concept of Real Option optimization. This funding tool reduces the downside risk of the portfolio selection. Here, Dynamic Programming (DP) solution has been proposed to solve the optimization model. It also applies an alternate approach based on Genetic Algorithm to solve the above type mathematical optimization problems which optimizes the bigger portfolio in the framework of Real Option where the DP approach has the infeasible space requirement.