基于效用理论的海外油气项目投资组合优化方法研究

Study on investment portfolio optimization method of overseas oil and gas project based on utility theory

通过对风险勘探型、滚动开发型和措施增产型这三类海外油气投资项目的生产曲线、投资成本及未来收益曲线的差异分析,分别构建了海外油气项目投资的风险-效益目标、产量目标、投资总额约束、产能稳定性约束和剩余储量结构约束的计算公式。建立了海外油气投资项目组合多目标0-1规划模型。基于效用理论分析海外油气投资主体对不同优化目标的心理效用,设计了效用感知等势线,从而避免了多目标转化为单目标的目标权重动态性问题。以帕累托解与效用等势线的欧氏距离作为解集排序方法的设计依据,构建了基于效用理论的海外油气项目投资组合优化方法,并实例应用了该模型。计算结果表明,投资主体不同的效用感知等势线将可能导致不同的投资组合方案,效用感知等势线的设计可以更好贴合投资者的决策实际状况。

Based on variance analysis of the oil and gas production curve,investment cost,and future yield curve of such three typical overseas oil and gas investment projects as risk-exploration,rolling-development,and production-increasing measure,the paper builds the formulas of risk-benefit target,production target,total investment constraint,capacity stability constraint,and remaining reserves structure constraint respectively,establishes the multi-objective 0-1 programming model for overseas oil and gas investment portfolio.Based on the utility theory,it analyzes the different psychological effects of the optimization goals,designs the utility equipotential line to avoid the dynamic weight problem of convert multiple objective into single one.Moreover,taking the Euclidean distance between the Pareto solutions and the utility equipotential line as the design basis of the sorting method of solution set,it also builds the optimization method of overseas oil and gas project portfolio based on utility theory and applies the model to real projects.The results show that different utility equipotential lines of investment subjects may lead to different portfolio schemes and the design of utility equipotential lines will better fit the decision reality of investors.