基于风险承受力的石油企业最优投资决策

Optimal Investment Decision-Making for Petroleum Enterprises Based on Risk Tolerance

通过引进风险承受力理念,改进Markowitz投资组合模型进行项目选择,辅以MAUT多属性分析技术作为财务、技术、环境、地质等因素的综合决策依据,并运用某石油企业的实际数据进行实证分析检验。研究将决策者对管理属性的风险承受力、相对重要性等因素加以综合考虑,通过建立决策分析与投资组合管理之间的联系,提升整体的决策过程,最终促进企业业绩的价值提升。

Based on expected utility theory, the concept of corporate risk tolerance is introduced into Markowitz portfolio management model for investment decision-making. Based on the model, multiple attribute analysis technique is used for the integrated decision making of financial, technical, environmental, geological, and other factors. The proposed method is applied to a company in the petroleum industry. With the data collected from that company, it demonstrates the effectiveness of the proposed method. By taking the corporate risk tolerance and the effect of each attribute into consideration, the proposed method establishes the linkage between decision analysis and portfolio management such that the overall petroleum investment decision-making process is improved, leading to a better corporate performance.