Calculation of profitability and risk of a project portfolio based on the Sharpe model

Authors

  • Олександр Миколайович Пшінько Dnipropetrovsk National University of Railway Transport named after Academician V. Lazaryan, str. Academician Lazaryan, 2, 49010, Dnipropetrovsk, Ukraine https://orcid.org/0000-0002-1598-2970
  • Тетяна Володимирівна Климова Dnipropetrovsk National University of Railway Transport named after Academician V. Lazaryan, str. Academician Lazaryan, 2, 49010, Dnipropetrovsk, Ukraine https://orcid.org/0000-0003-0264-7273
  • Світлана Михайлівна Гродецька Dnipropetrovsk National University of Railway Transport named after Academician V. Lazaryan, str. Academician Lazaryan, 2, 49010, Dnipropetrovsk, Ukraine https://orcid.org/0000-0002-4406-5506

DOI:

https://doi.org/10.15587/2312-8372.2015.45023

Keywords:

Sharpe model, risk, project and portfolio risks, risk-free securities, profitability

Abstract

Successful realization of projects has become an especially difficult and complex challenge because of the hard economic and political situation in the country. Hence methods of assessing risk and profitability of both an individual project and the whole portfolio on the basis of the market index analysis have become a priority. The Sharpe model has not been used in the portfolio formation practice before. The application of this model will allow optimizing the calculation of the risk and profitability of a project portfolio. The development of methods and models of forming the investment projects portfolio and of planning its realization with the capabilities of the enterprise and the impact of various risks taken into account has become a topical scientific and practical challenge. By means of the risk management processes project managers increase the likelihood of the occurrence risk events and their impact on the project and decrease the likelihood of the occurrence and impact of unfavorable risk events that can have a negative effect on the profitably of the project. Assessment of the current state of the enterprise is a crucial stage in determining the portfolio, because it is necessary to assess resource and technological capabilities of the enterprise to perform project work.

Diversification significantly reduces the risk. The assessment of the current state of the enterprise is carried out by means of the available methods of technological, resource, and managerial analysis. To simplify the analysis and facilitate the calculation, the model of assessing profitability and a project portfolio risk is considered on the basis of the Sharpe model. If the market is stable and predictable, the application of this model allows assessing the risk and profitability of an individual project or the whole project portfolio on the basis of the market index analysis.

Author Biographies

Олександр Миколайович Пшінько, Dnipropetrovsk National University of Railway Transport named after Academician V. Lazaryan, str. Academician Lazaryan, 2, 49010, Dnipropetrovsk

Doctor of Technical Sciences, Professor, Head of the Department

Department of Project Management, Building and Building Materials

Тетяна Володимирівна Климова, Dnipropetrovsk National University of Railway Transport named after Academician V. Lazaryan, str. Academician Lazaryan, 2, 49010, Dnipropetrovsk

Candidate of Technical Sciences, Associate Professor

Department of Project Management, Building and Building Materials

Світлана Михайлівна Гродецька, Dnipropetrovsk National University of Railway Transport named after Academician V. Lazaryan, str. Academician Lazaryan, 2, 49010, Dnipropetrovsk

Postgraduate student

Department of Project Management, Building and Building Materials

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Published

2015-05-28

How to Cite

Пшінько, О. М., Климова, Т. В., & Гродецька, С. М. (2015). Calculation of profitability and risk of a project portfolio based on the Sharpe model. Technology Audit and Production Reserves, 3(2(23), 45–50. https://doi.org/10.15587/2312-8372.2015.45023

Issue

Vol. 3 No. 2(23) (2015): Systems and control processes. Information technologies. Mathematical modeling. Information and control systems

Section

Information Technologies: Original Research

License

Copyright (c) 2016 Олександр Миколайович Пшінько, Тетяна Володимирівна Климова, Світлана Михайлівна Гродецька

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