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Optimización estocástica de un portafolio para proyectos del sector de hidrocarburos

Author

Listed:
  • Juan Fernando Subirana

    (YPFB Andina)

Abstract

This paper presents a methodological propose in order to apply classical portfolio theory into a potential assets portfolio, to achieve a proper exposure a study case is shown. The study case considers an upstream enterprise in Bolivia with a twelve projects portfolio and capital and physical execution capacity constraints. A review of the regulatory framework and technical characteristics of each project is performed by adding the factor of the volatility of input variables to the model. Therefore the value generation of project portfolio is analyzed thru three objective functions. Finally, results with stochastic optimization and portfolio of projects selected are presented.

Suggested Citation

  • Juan Fernando Subirana, 2015. "Optimización estocástica de un portafolio para proyectos del sector de hidrocarburos," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 1(1), pages 88-106.
    • Handle: RePEc:iad:wpaper:0615
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    More about this item

    Keywords

    Portfolio theory; project portfolio; Hydrocarbons sector.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • O10 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - General

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