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ETDs @PUC-Rio
Estatística
Título: A RISK-CONSTRAINED PROJECT PORTFOLIO SELECTION MODEL
Autor: PIERRY SOUTO MACEDO DA SILVA
Colaborador(es): SILVIO HAMACHER - Orientador
BRUNO FANZERES DOS SANTOS - Coorientador
Catalogação: 01/AGO/2018 Língua(s): PORTUGUESE - BRAZIL
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.
Referência(s): [pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=34628&idi=1
[en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=34628&idi=2
DOI: https://doi.org/10.17771/PUCRio.acad.34628
Resumo:
In their multi-annual investment planning, oil and gas companies consider alternatives of production projects, subject to a variety of constraints, and technical and economic uncertainties. Considering that it is not possible to guarantee that these projects will perform as predicted, the return can be less than expected and can lead to a significant adverse effect to the operational results and to financial conditions of a given organization. Therefore, this dissertation proposes a mixed integer linear stochastic programming model for project portfolio selection that maximizes the return with risk constraint. The application considered realistic data from the upstream segment of an oil and gas company. Monte Carlo simulation of the Geometric Brownian Motion model was considered to represent the economic scenarios. Using the Net Present Value as the function and Conditional Value-at-Risk as a risk measure, it was possible to establish the efficient frontier of risk-return, which can assist the decision-maker to define the project portfolio according to their risk aversion.
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