ETDs @PUC-Rio
| Título: | SELECTION OF PORTFOLIOS OF OIL AND GAS PRODUCTION BY GENETIC ALGORITHMS | ||||||||||||||||||||||||||||||||||||
| Autor: |
KARIN YANET SUPO GAVANCHO |
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| Colaborador(es): |
MARCO AURELIO CAVALCANTI PACHECO - Orientador SILVIO HAMACHER - Coorientador |
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| Catalogação: | 27/NOV/2002 | Língua(s): | PORTUGUESE - BRAZIL |
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| Tipo: | TEXT | Subtipo: | THESIS | ||||||||||||||||||||||||||||||||||
| Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=3167&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=3167&idi=2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.3167 | ||||||||||||||||||||||||||||||||||||
| Resumo: | |||||||||||||||||||||||||||||||||||||
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This thesis investigates a system of support to the
decision based on Genetic Algorithms and Monte Carlo
Simulation for the creation of portfolio projects of oil
and gas. The objective of this work is to evaluate the
performance of Genetic Algorithms -GA- to select projects
that will form the portfolio. The portfolio construction of
projects is a problem of objective multiples, where it is
wishes to choose a set of projects with profit perspectives
to form a portfolio. The system uses the Genetic Algorithm
to create the portfolio formation of projects. After that,
the Monte Carlo Simulation is used to get the function of
distribution of the Net Present Value -NPV- of the
portfolio based on the distributions of the chosen projects.
Finally, the portfolio is evaluated portfolio by using
itself the method of minimizes energy for the three
considered objectives. The problem consists, basically, in
maximizing the average of the NPV which represents the
return expected, minimizing the Standard of Deviation,
which is the measure of the risk, and maximizing the
Percentile 90 -P90-, which means the possibility to get a
bigger profit. In the study of cases, it is presented the
results of the application of the system for different
groups of projects, consisting in 16, 18, 20 and 26
projects, where each project has theoretical distributions
of the NPV defined by functions: F, Normal and
Logarithmic, formed for 500 data. The gotten results show
the efficiency of the GA with the technique of objective
multiples, in the use of the optimization of the
portfolio projects oil and gas investment.
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