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

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  • Qiulin Guo
  • Jianzhong Li
  • Caineng Zou
  • Yujuan Guo
  • Wei Yan

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.

Suggested Citation

  • Qiulin Guo & Jianzhong Li & Caineng Zou & Yujuan Guo & Wei Yan, 2012. "A class of multi-period semi-variance portfolio for petroleum exploration and development," International Journal of Systems Science, Taylor & Francis Journals, vol. 43(10), pages 1883-1890.
    • Handle: RePEc:taf:tsysxx:v:43:y:2012:i:10:p:1883-1890
    DOI: 10.1080/00207721.2011.555011
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    Cited by:

    1. Bo Zhang & Jin Peng & Shengguo Li, 2015. "Uncertain programming models for portfolio selection with uncertain returns," International Journal of Systems Science, Taylor & Francis Journals, vol. 46(14), pages 2510-2519, October.
    2. Lin Chen & Jin Peng & Bo Zhang & Isnaini Rosyida, 2017. "Diversified models for portfolio selection based on uncertain semivariance," International Journal of Systems Science, Taylor & Francis Journals, vol. 48(3), pages 637-648, February.
    3. Ruey-Chyn Tsaur, 2015. "Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions," International Journal of Systems Science, Taylor & Francis Journals, vol. 46(3), pages 438-450, February.
    4. Liesiö, Juuso & Salo, Ahti & Keisler, Jeffrey M. & Morton, Alec, 2021. "Portfolio decision analysis: Recent developments and future prospects," European Journal of Operational Research, Elsevier, vol. 293(3), pages 811-825.

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