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

Qiulin Guo, Jianzhong Li, Caineng Zou, Yujuan Guo and Wei Yan

International Journal of Systems Science, 2012, vol. 43, issue 10, 1883-1890

Abstract: 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.

Date: 2012
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/00207721.2011.555011

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