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Portfolio Optimization Under Uncertainty for Increasing Economic Return of Gas InvestmentsNormal access

Authors: Y. Khojah, P. King and O. Dubrule
Event name: 81st EAGE Conference and Exhibition 2019
Session: Risk Management (Joint EAGE/SPE)
Publication date: 03 June 2019
DOI: 10.3997/2214-4609.201900990
Organisations: EAGE
Language: English
Info: Extended abstract, PDF ( 1.06Mb )
Price: € 20

Summary:
This research presents a new method on how to build a portfolio of gas fields within the presence of uncertainty. The portfolio method helps decision makers in the industry to understand the economic impact of their investment based on their portfolio return and risk. This method has been inspired by the Modern Portfolio Theory (MPT) which has revolutionized the financial industry. This research method extends MPT application for the O&G industry by introducing scheduling feature which helps decision makers to understand the optimum time to start their fields at their efficient production rates. The model is solved deterministically and stochastically. The latter helps to quantify reservoir volume uncertainty and the downside risk of losing the capital investment. The extended abstract presents this research method on gas fields and shares the outcomes of the deterministic and stochastic cases.


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