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

作者：Guo Qiulin; Li Jianzhong; Zou Caineng; Guo Yujuan; Yan Wei^*

来源：International Journal of Systems Science, 2012, 43(10): 1883-1890.

DOI：10.1080/00207721.2011.555011

• exploration and development
• portfolio
• multi-period semi-variance
• hybrid GA with PSO

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.

• 出版日期2012
• 单位中国石油天然气股份有限公司勘探开发研究院