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Type: Artigo de periódico
Title: The Impact Of Different Risk Measures In The Portfolio Selection Of Oil Producing Projects [impacto De Diferentes Métricas De Risco Na Seleção De Portfólios De Projetos De Produção De Petróleo]
Author: Galeno R.C.
Suslick S.B.
Pinto M.A.S.
Lima G.A.C.
Abstract: The portfolio selection process for projects involving the exploration and production of oil is a complex task, passing through different steps until and optimum solution is achieved, revealing the best portfolio. This paper presents a methodology for portfolio selection considering semi-standard deviation as a measure of risk. The methodology is applied to a set of six oil production projects located in the Campos Basin, where the risk minimization is subject to a certain return. Genetic algorithms are used as the optimization tool.. The portfolio selection was performed by maximization of the certainty equivalent, for different values of risk aversion coefficients. The results show that the semi-standard deviation presents better sensitivity in portfolio selection with projects that have a large magnitude of risk and return.
Rights: aberto
Identifier DOI: 
Date Issue: 2009
Appears in Collections:Unicamp - Artigos e Outros Documentos

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