A class of multi-period semi-variance portfolio for petroleum exploration and development

被引：23

作者：

Guo, Qiulin ^{[1
]}

Li, Jianzhong ^{[1
]}

Zou, Caineng ^{[1
]}

Guo, Yujuan ^{[2
]}

Yan, Wei ^{[1
]}

机构：

[1] PetroChina, Res Inst Petr Explorat & Dev, Beijing 100083, Peoples R China

[2] Zhangzhou Pientzehuang Grp CO, Fujian Zhangzhou, Peoples R China

来源：

INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE | 2012年 / 43卷 / 10期

关键词：

exploration and development; portfolio; multi-period semi-variance; hybrid GA with PSO; SELECTION; MODEL;

D O I：

10.1080/00207721.2011.555011

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Variance is substituted by semi-variance in Markowitz's portfolio selection model. For dynamic valuation on exploration and development projects, one period portfolio selection is extended to multi-period. In this article, a class of multi-period semi-variance exploration and development portfolio model is formulated originally. Besides, a hybrid genetic algorithm, which makes use of the position displacement strategy of the particle swarm optimiser as a mutation operation, is applied to solve the multi-period semi-variance model. For this class of portfolio model, numerical results show that the mode is effective and feasible.

引用

页码：1883 / 1890

页数：8

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