基于条件风险价值(CVaR)的油气勘探投资组合决策模型研究

摘要

以现代投资组合理论为基础,引入条件风险价值(CVaR)相关理论和方法,构建了基于CVaR的油气勘探投资组合决策模型.该模型运用CVaR代替方差度量勘探投资组合的风险,利用线性规划求解各项目的最优投资比例.通过算例分析了预期收益、置信水平及约束条件对投资组合的影响.研究结果表明CVaR投资组合决策模型不仅继承了传统均值—方差模型分散投资风险的优点,同时有效克服了方差在勘探项目风险度量上的缺陷,有助于决策者更好地了解勘探投资组合的潜在风险,使得投资决策过程更加科学,为制定合理的油气勘探投组合提供了一种新的思路和方法.%Based on Modern Portfolio Theory, introduced the conditional value at risk (CVaR) theories and methods to put forward a CVaR portfolio model for petroleum exploration investment decision-making. This model uses CVaR to measure the risk and uses linear programming to get the optimal investment proportion. Through real example, this paper analyzed the influence of expected return, confidence level and constraint conditions on portfolio. The results show that the CVaR portfolio model is better than the traditional Mean-Variance model. It not only can diversify investment risk, but also overcomes the shortage of variance in risk measurement, which can help decision-makers to capture the potential losses exceeded threshold. So the decision has been made more scientifically and reasonablely. The paper provides a new i-dea and method to establish a rational portfolio for petroleum exploration.