Components of Portfolio Value of Information

Kun Zan () and J. Eric Bickel ()
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Kun Zan: Graduate Program in Operations Research and Industrial Engineering, The University of Texas at Austin, Austin, Texas 78712
J. Eric Bickel: Graduate Program in Operations Research and Industrial Engineering, The University of Texas at Austin, Austin, Texas 78712

Decision Analysis, 2013, vol. 10, issue 2, 171-185

Abstract: Decision analysis is often employed in portfolio management. The portfolio management process consists primarily of valuation (including uncertainty quantification or risk assessment) and prioritization/selection, which are based on the results of valuation. In this paper, we quantify the relative value of these components using a value of information (VOI) framework. Specifically, we quantify the VOI that stems from the ability to better prioritize projects and the VOI that comes from the ability to exclude projects. We identify conditions under which prioritization is the primary value driver in portfolio settings.

Keywords: value of information; portfolio decision analysis; decision analysis; practice (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ordeca:v:10:y:2013:i:2:p:171-185

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