Application of Value at Risk Model in Technological Investment Portfolio Management - A Case in Iranian Petroleum Industry

Document Type : Research Article (Original Article)

Authors

1 PhD candidate of Industrial Engineering, Faculty of Industrial Engineering, Amirkabir University of Technology, Tehran, Iran.

2 Associate Professor, Faculty of Industrial Engineering, Amirkabir University of Technology, Tehran, Iran.

Abstract

Technology portfolio is a rather recent and popular approach in the literature of technology management. The problem of technology portfolio management is to find the appropriate distribution of capital & resources among a set of technologies, provides the highest effectiveness in accessing the organizational goals. In recent years various factors & criteria are proposed by experts for selection and management of technology portfolios. This paper, while providing a brief overview on common factors and criteria for technology portfolio selection and by introducing a set of tailored criteria for technology portfolio selection in a subsector of Iranian oil & gas industry, develops a new model based on the very well-known "Value at Risk” model. VaR originates from the literature of financial management and we have applied it in technology portfolio selection by redefining the concepts of risk and return of investments in alignment with technology management and in the general framework of portfolio theorem. The introduced model enables decision makers of technological investments to calculate the capability of technology portfolios in supporting the organizational objectives.

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History

  • Receive Date: 05 February 2017
  • Revise Date: 24 April 2021
  • Accept Date: 05 February 2017

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