Optimization of the investment portfolio for oil and gas projects under conditions of risk and uncertainty

Kruk Marina ,Shabalina Anastasiia

doi:10.24294/jipd10928

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Optimization of the investment portfolio for oil and gas projects under conditions of risk and uncertainty

Kruk Marina

Shabalina Anastasiia

Journal of Infrastructure Policy and Development 2025, 9(2), 10928; https://doi.org/10.24294/jipd10928

Submitted：23 Dec 2024

Accepted：05 Feb 2025

Published：13 Feb 2025

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Abstract

The application of optimization algorithms is crucial for analyzing oil and gas company portfolio and supporting decision-making. The paper investigates the process of optimizing a portfolio of oil and gas projects under economic uncertainty. The literature review explores the advantages of applying various optimizers to models that consider the mean and semi-standard deviations of stochastic multi-year cash flows and revenues. The methods and results of three different optimization algorithms are discussed: ranking and cutting algorithms, linear (Simplex) and evolutionary (genetic) algorithms. Functions of several key performance indicators were used to test these algorithms. The results confirmed that multi-objective optimization algorithms that examine various key performance indicators are used for efficient optimization in oil and gas companies. This paper proposes a multi-criteria optimization model for investment portfolios of oil and gas projects. The model considers the specific features of these projects and is based on the Markowitz portfolio theory and methodological recommendations for project assessment. An example of its practical application to oil and gas projects is also provided.

Keywords

Comparative Study

References

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