A forward modelling approach to optimise the portfolio of projects among oil companies under uncertainty: a reactive two-stage stochastic model

Mohsen Fayyazi, Siamak Haji Yakhchali, Mir Saman Pishvaee and Fariborz Jolai

International Journal of Industrial and Systems Engineering, 2022, vol. 42, issue 4, 427-451

Abstract: Because of high volatility in oil price, oil companies should change their strategies along with changing oil prices. Thus, dynamic portfolio management is strongly recommended to increase the rate of oil production and determine resource allocation for projects in each period of the planning horizon. To achieving the objective, a two-stage stochastic mathematical model is developed to optimise the portfolio of oil projects. To make the model more realistic, splitting the projects and their resumption are permitted. To solve the model, a robust optimisation approach is designed, and the results of the robust and two-stage stochastic designs are compared. These comparisons are based on a realisation algorithm developed by this study. To illustrate the capability and power of the stochastic model in handling the uncertainty, a case study on an oil company is presented.

Keywords: portfolio management; resource assignment; project scheduling; stochastic programming; robust optimisation. (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijisen:v:42:y:2022:i:4:p:427-451

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