新常态下油气企业投资组合优化方法研究及应用

Research and Application of Portfolio Optimization Method for Oil & Gas Enterprises under the New Normal

自2014 年下半年国际油价暴跌并持续低位运行以来,石油企业整体投资效益锐减,严重影响了企业发展战略的实施。投资是石油企业战略发展的前提,投资管理是战略实施的关键,针对目前油田企业单纯依据建设项目效益指标排序确定投资规模的常规方法,无法满足油价波动尤其是低油价条件下,投资难以决策的管理难题。文章基于项目投资收益和风险评价等预测评价结果,采用蒙特卡洛模拟和线性规划方法,以多维思维研究出综合量化求解企业年度最优投资组合方案的新方法,并以胜利油田年度投资规模优化为例进行模拟测算及应用验证,提出了油田企业提高投资效益、降低投资风险和可持续投资经营管理的策略和建议。

Since the international oil price plummeted in second half of 2014 and continued to be at low level, the overall investment efficiencies of oil companies has dropped sharply, which has affected the implementation of their corporate development strategies. Investment is the premise of the strategic development in oil companies, and investment management is crucial in strategy implementation. As the conventional methods for oil companies to determine the investment scale basing solely on the ranking of construction project benefit index, it is unable to solve the management problem that investment decision is difficult to make when the oil price is fluctuating, especially under low oil prices. Based on the forecast results of investment income and risk evaluation, this paper uses Monte Carlo simulation and linear programming to develop a new method of comprehensive quantitative solution for enterprise annual optimal portfolio plan with multi-dimensional thinking. It also conducts simulation calculation and application verification using annual investment scale optimization of Shengli Oilfield as a case study, and summarizes the strategies and suggestions for oil companies to improve investment efficiency, reduce investment risks and sustain investment management.