海外油气勘探开发项目组合优化研究——基于交互效应视角
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摘要
海外油气勘探开发项目受投资环境、财税条款和技术进步影响,存在广泛的交互效应,对项目的经济评价和组合优化产生了重要影响。分析了海外油气勘探开发项目存在的资源交互效应、收益交互效应和技术交互效应,建立了基于交互效应的海外油气勘探开发项目组合收益最大和风险最小模型;改进多元宇宙优化算法(Multi-Verse Optimizer,MVO),将其应用到0-1非线性规划模型问题求解中,对油气项目进行组合优化。结果表明,项目之间存在的交互效应会对组合选择产生影响,存在正交互效应的项目被选中的概率增加。考虑交互效应的投资组合在收益和风险方面都优于不考虑交互效应的投资组合,证明交互效应对海外油气勘探开发项目投资组合优化的重要性,增加了投资决策的科学性。
Overseas oil and gas projects are influenced by investment environment,fiscal terms and technological progress. They have extensive interaction effects,and have important impact on economic evaluation and portfolio optimization of projects. Based on the three types of interaction effects,this paper analyzes the resources interaction effect,benefit interaction effect and the technical interaction effect of overseas oil and gas projects,and establishes the maximum benefit or minimum risk model of offshore oil and gas project portfolio based on interaction effect. The multi-verse algorithm is improved and applied to the solution of 0-1 nonlinear programming problem to optimize the oil and gas project portfolio. The results show that the interaction effects between projects will have an impact on portfolio selection,and the probability of the selection of projects with positive interaction effects will increase. The investment portfolio considering the interaction effect is better than the portfolio which does not consider the interaction effect in terms of profit and risk. It proves the importance of the interaction effect on the optimization of the overseas oil and gas exploration and development projects,and increases the scientificity of the investment decision.
Overseas oil and gas projects are influenced by investment environment,fiscal terms and technological progress. They have extensive interaction effects,and have important impact on economic evaluation and portfolio optimization of projects. Based on the three types of interaction effects,this paper analyzes the resources interaction effect,benefit interaction effect and the technical interaction effect of overseas oil and gas projects,and establishes the maximum benefit or minimum risk model of offshore oil and gas project portfolio based on interaction effect. The multi-verse algorithm is improved and applied to the solution of 0-1 nonlinear programming problem to optimize the oil and gas project portfolio. The results show that the interaction effects between projects will have an impact on portfolio selection,and the probability of the selection of projects with positive interaction effects will increase. The investment portfolio considering the interaction effect is better than the portfolio which does not consider the interaction effect in terms of profit and risk. It proves the importance of the interaction effect on the optimization of the overseas oil and gas exploration and development projects,and increases the scientificity of the investment decision.
引文
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[13]张孟.油气勘探项目投资组合研究[D].青岛:中国石油大学(华东),2011.Zhang Meng.Research on the Portfolio of Oil-Gas Exploration Projects[D].Qingdao:China University of Petroleum(East China),2011.
[14]Keisler J.When to Consider Synergies in Project Portfolio Decisions[D].Boston:University of Massachusetts Boston,2005.
[15]Almeida A T,Duarte M D O.A Multi-criteria Decision Model for Selecting Project Portfolio with Consideration Being Given to a New Concept for Synergies[J].Pesquisa Operacional,2011,31(2):301-318.
[16]杨小平,何江波.项目群构建中的协同效应潜能素质分析与预测模型[J].西北农林科技大学学报:社会科学版,2012,12(3):44-50.Yang Xiaoping,He Jiangbo.Analysis and Prediction Model of Potential Quality of Synergy in the Construction of Programme[J].Journal of Northwest Agriculture and Forestry University:Social Science Edition,2012,12(3):44-50.
[17]宋代文,万学鹏,高晓姝.篱笆圈在海外油气项目投资评价中的应用[J].国际石油经济,2009,17(8):52-55.Song Daiwen,Wan Xuepeng,Gao Xiaoshu.Application of Tax Ring Fence in Investment Evaluation Against Overseas Oil&Gas Projects[J].International Petroleum Economics,2009,17(8):52-55.
[18]Fox G E,Baker N R,Bryant J L.Economic Models for R and D Project Selection in the Presence of Project Interactions[J].Management Science,1984,30(7):890-902.
[19]Mirjalili S,Mirjalili S M,Hatamlou A.Multi-Verse Optimizer:A Nature-inspired Algorithm for Global Optimization[J].Neural Computing&Applications,2016,27(2):495-513.
[2]Chen W.Multistage Stochastic Programming Models for the Portfolio Optimization of Oil Projects[M].Austin:The University of Texas at Austin,2011.
[3]Walls M R.Corporate Risk Tolerance and Capital Allocation:A Practical Approach to Implementing an Exploration Risk Policy[J].Journal of Petroleum Technology,1995,47(4):307-311.
[4]Walls M R,Dyer J S.Risk Propensity and Firm Performance:A Study of the Petroleum Exploration Industry[J].Management Science,1996,42(7):1004-1021.
[5]Orman M M,Duggan T E.Applying Modern Portfolio Theory to Upstream Investment Decision Making[J].Journal of Petroleum Technology,1999,51(3):50-53.
[6]Fichter D P.Application of Genetic Algorithms in Portfolio Optimization for the Oil and Gas Industry[C]//Paper SPE-62970-MS was Presented at the SPE Annual Technical Conference and Exhibition,1-4 October,2000,Dallas,Texas,USA.New York:SPE,2000.
[7]Walls M R.Combining Decision Analysis and Portfolio Management to Improve Project Selection in the Exploration and Production Firm[J].Journal of Petroleum Science and Engineering,2004,44(1):55-65.
[8]Zheng Yuhua,Luo Dongkun.Investment Optimization in Oil and Gas Plays[J].Petroleum Exploration and Development,2009,36(4):535-540.
[9]吴枚.石油公司投资决策与组合优化研究[D].天津:天津大学,2002.Wu Mei.The Study on Investment Decision and Portfolio in Petroleum Company[D].Tianjin:Tianjin University,2002.
[10]王永兰.油气勘探项目投资组合优化研究[D].成都:西南石油大学,2005.Wang Yonglan.Research on Portfolio Optimization of Oil and Gas Exploration Projects[D].Chengdu:Southwest Petroleum University,2005.
[11]王桂荣,李小飞.境外勘探开发投资项目的风险分析[J].中国石油大学学报:社会科学版,2006,22(3):12-16.Wang Guirong,Li Xiaofei.Risk Analysis of the Abroad Exploration&Development Investment[J].Journal of China University of Petroleum:Edition of Social Science,2006,22(3):12-16.
[12]王震,王恺.基于Markowitz资产组合理论的油气勘探开发投资决策[J].中国石油大学学报:自然科学版,2008,32(1):152-155.Wang Zhen,Wang Kai.Investment Decision of Oil&Gas Exploration and Development Based on Markowitz's Portfolio Selection Theory[J].Journal of China University of Petroleum:Edition of Natural Science,2008,32(1):152-155.
[13]张孟.油气勘探项目投资组合研究[D].青岛:中国石油大学(华东),2011.Zhang Meng.Research on the Portfolio of Oil-Gas Exploration Projects[D].Qingdao:China University of Petroleum(East China),2011.
[14]Keisler J.When to Consider Synergies in Project Portfolio Decisions[D].Boston:University of Massachusetts Boston,2005.
[15]Almeida A T,Duarte M D O.A Multi-criteria Decision Model for Selecting Project Portfolio with Consideration Being Given to a New Concept for Synergies[J].Pesquisa Operacional,2011,31(2):301-318.
[16]杨小平,何江波.项目群构建中的协同效应潜能素质分析与预测模型[J].西北农林科技大学学报:社会科学版,2012,12(3):44-50.Yang Xiaoping,He Jiangbo.Analysis and Prediction Model of Potential Quality of Synergy in the Construction of Programme[J].Journal of Northwest Agriculture and Forestry University:Social Science Edition,2012,12(3):44-50.
[17]宋代文,万学鹏,高晓姝.篱笆圈在海外油气项目投资评价中的应用[J].国际石油经济,2009,17(8):52-55.Song Daiwen,Wan Xuepeng,Gao Xiaoshu.Application of Tax Ring Fence in Investment Evaluation Against Overseas Oil&Gas Projects[J].International Petroleum Economics,2009,17(8):52-55.
[18]Fox G E,Baker N R,Bryant J L.Economic Models for R and D Project Selection in the Presence of Project Interactions[J].Management Science,1984,30(7):890-902.
[19]Mirjalili S,Mirjalili S M,Hatamlou A.Multi-Verse Optimizer:A Nature-inspired Algorithm for Global Optimization[J].Neural Computing&Applications,2016,27(2):495-513.