Petroleum Science >2014, Issue 1: 181-188 DOI: https://doi.org/10.1007/s12182-014-0331-8
An improved portfolio optimization model for oil and gas investment selection Open Access
文章信息
作者：Xue Qing, Wang Zhen, Liu Sijing and Zhao Dong
作者单位：
School of Business Administration, China University of Petroleum, Beijing 102249, China,Academy of Chinese Energy Strategy, China University of Petroleum, Beijing 102249, China,School of Business Administration, China University of Petroleum, Beijing 102249, China and China National Oil and Gas Exploration and Development Corporation, Beijing 100034, China
投稿时间：2013-06-17
引用方式：Xue, Q., Wang, Z., Liu, S. et al. Pet. Sci. (2014) 11: 181. https://doi.org/10.1007/s12182-014-0331-8
文章摘要
For oil company decision-makers, the principal concern is how to allocate their limited resources into the most valuable opportunities. Recently a new management philosophy, “Beyond NPV”, has received more and more international attention. Economists and senior executives are seeking effective alternative analysis approaches for traditional technical and economic evaluation methods. The improved portfolio optimization model presented in this article represents an applicable technique beyond NPV for doing capital budgeting. In this proposed model, not only can oil company executives achieve trade-offs between returns and risks to their risk tolerance, but they can also employ an “operational premium” to distinguish their ability to improve the performance of the underlying projects. A simulation study based on 19 overseas upstream assets owned by a large oil company in China is conducted to compare optimized utility with non-optimized utility. The simulation results show that the petroleum optimization model including “operational premium” is more in line with the rational investors’ demand.
关键词
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Portfolio optimization, capital budgeting, operational premium; utility theory, risk tolerance