Work

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

Year: 2025

Type: article

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.

Source: Journal of Infrastructure Policy and Development

DOI: 10.24294/jipd10928

Authors: Kruk Marina, Shabalina Anastasiia

Institution: Saint Petersburg Mining University

Language: English

Topic: Capital Investment and Risk Analysis

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDGs: Affordable and clean energy, Industry, innovation and infrastructure

Open Access status: diamond

Funder: Ministry of Science and Higher Education of the Russian Federation