TY - THES

T1 - Optimization of the investment portfolio of oil and gas projects under conditions of high uncertainty

T2 - Development of an investment portfolio optimization model in the oil and gas industry

AU - Shabalina, Anastasiia

N1 - no embargo

PY - 2023

Y1 - 2023

N2 - The cost and risk of a portfolio differ significantly from the value and risk of its constituent assets due to the complex interaction between them, so it is very important for companies to optimize their investment portfolios competently and in a timely manner. At the moment, many Russian oil corporations are struggling with a lack of investment due to the current global crisis and the associated conditions of high uncertainty, so the topic of correct and regular optimization of the company's investment portfolio is the most relevant now. In this paper, options for optimizing the investment portfolio of oil and gas assets in order to maximize the company's profits and reduce the risk of the portfolio are studied, investment directions in various areas of the oil and gas company are ranked and a model for optimizing oil and gas projects at one field is developed. As a result of the study, it was revealed that there is a need to develop a common integrated approach to optimizing the investment portfolio, including more careful control over costs at each stage and disaggregation of the "field" asset into separate works on it in order to obtain a better economic result for each stage of field development. The possibilities of reducing the risk and increasing the value of the investment portfolio have been studied, the main optimizers used to determine high-performance portfolios and the ranking of investment areas have been considered, an integrated three-stage system of strategic assessment has been considered, the main financial and non-financial key performance indicators have been identified, the prospects for creating a multi-criteria optimization model and the basic principles on which it should be based have been substantiated and the created model was tested.

AB - The cost and risk of a portfolio differ significantly from the value and risk of its constituent assets due to the complex interaction between them, so it is very important for companies to optimize their investment portfolios competently and in a timely manner. At the moment, many Russian oil corporations are struggling with a lack of investment due to the current global crisis and the associated conditions of high uncertainty, so the topic of correct and regular optimization of the company's investment portfolio is the most relevant now. In this paper, options for optimizing the investment portfolio of oil and gas assets in order to maximize the company's profits and reduce the risk of the portfolio are studied, investment directions in various areas of the oil and gas company are ranked and a model for optimizing oil and gas projects at one field is developed. As a result of the study, it was revealed that there is a need to develop a common integrated approach to optimizing the investment portfolio, including more careful control over costs at each stage and disaggregation of the "field" asset into separate works on it in order to obtain a better economic result for each stage of field development. The possibilities of reducing the risk and increasing the value of the investment portfolio have been studied, the main optimizers used to determine high-performance portfolios and the ranking of investment areas have been considered, an integrated three-stage system of strategic assessment has been considered, the main financial and non-financial key performance indicators have been identified, the prospects for creating a multi-criteria optimization model and the basic principles on which it should be based have been substantiated and the created model was tested.

KW - Optimization

KW - investment portfolio

KW - oil

KW - gas

KW - uncertainty

KW - genetic algorithm

KW - optimizers

KW - KPI

KW - multi-criteria model

KW - Markowitz

KW - risk

KW - NPV

KW - PJSC "Gazprom Neft"

KW - exploration .

KW - Optimierung

KW - Anlageportfolio

KW - Öl

KW - Gas

KW - Unsicherheit

KW - genetischen Algorithmus

KW - Optimierer

KW - KPIs

KW - Multikriterienmodell

KW - Markowitz

KW - Risiko

KW - Kapitalwert

KW - PJSC ¿Gazprom Neft¿

KW - Erkundung.

M3 - Master's Thesis

ER -