油砂开发经济性评价方法研究及应用

随着我国油企进入加拿大油砂行业,如何降低油砂开发项目的风险并提高决策的科学性变得愈发重要。油砂开采的经济性作为投资决策的重要着力点,研究相应的经济评价方法也就有了十分重要的意义。本文较为全面的分析了露天开发油砂及蒸汽辅助重力卸油技术(SAGD)开发油砂的技术特点;选择折现现金流理论作为理论基础分别构建了露天开发与SAGD开发油砂项目经济评价模型,并对模型中涉及的收入、投资、成本等参数的估算方法进行了系统的研究;通过对新疆某油砂试采区的实际评价,验证了方法的可行性。该方法作为油砂开发项目经济评价的初步探索,将为加拿大和我国油砂开发项目的经济评价工作提供一定的参考依据。     

非常规油气资源开发投资决策优化模型研究

非常规油气资源作为最现实的可替代能源,对其进行勘探和开发对于降低日益加大的石油供需矛盾缺口和确保国家能源安全均具有重要的战略意义。然而,非常规油气资源勘探开发十分复杂,开发投资决策好坏已经成为制约其能否实现规模化和产业化的关键问题,科学投资决策问题已逐步成为石油企业高层管理者的主要职责。针对非常规油气资源开发投资的多阶段多目标决策优化难题,以可供开发区块的资源分配为重点研究对象,从解决不同区块投资规模入手,运用多阶段决策、多目标决策和不确定多属性方案优选的方法理论,通过剖析非常规油气开发投资决策过程及其复杂性特征,将开发投资决策过程进行形式化描述并在计算机中加以实现,从而得以实现开发投资决策方案的动态性调整。本项研究不仅有助于深化多目标动态优化决策理论的研究,还为解决非常规油气资源开发投资决策难题提供一种新的思路和方法。     

页岩气区块优选的模糊动态多属性决策模型研究

页岩气作为目前最现实的可替代能源倍受各国政府和企业的高度关注。针对信息不确定下页岩气区块优选的动态多属性决策难题,在初步估测不同阶段地质资源禀赋、基础设施建设投资以及环境保护要求等不确定信息下,以优选具有商业化价值开发的页岩气目标区块为重点研究对象,从解决不同区块的投资优先次序入手,运用多属性决策、模糊优化决策和动态决策优化的方法理论,通过剖析页岩气区块优选决策过程及其复杂性特征,将页岩气区块投资优选和排序问题进行形式化描述,提出一种探索解决这种模糊动态多属性决策问题的方法,并应用到具体的页岩气区块优选问题中。本项研究不仅有助于深化不确定条件下动态多属性决策理论的研究,还为解决页岩气区块优选这一投资决策难题提供新的思路和方法。     

基于两阶段模型的中国海外石油投资区位选择影响因素研究

以中国石油进口来源国为样本,综合考虑东道国国内生产总值、石油资源、东道国与中国经济贸易情况以及东道国政治与商业风险情况等因素,选择了17个变量,利用Heckman Two-Stage模型分析了这些因素对中国海外石油投资区位选择决策的影响.研究结论指出,中国海外石油投资国家选择与其在选定国家投资规模的影响因素有所不同.前者主要受东道国GDP规模、GDP增长率、腐败控制力度等的影响,后者则受东道国GDP规模、石油出口能力、经济稳定状况的影响更加显著.另外,东道国货币价值及东道国法律制度情况对两者都产生显著的影响,但作用正好相反.     

基于SEC准则的油田开发规划不确定优化模型及算法

在油价低迷的国际背景下,上市石油公司进行油田开发规划时越来越重视经营效益。美国证券交易委员会(SEC)要求上市石油公司采用产量法计提折耗,极大地影响了石油公司开发规划方案的制定。油田开发受到自然、技术等多种不确定因素的影响,在制定开发规划时需充分考虑这些不确定性。本文基于不确定理论,考虑措施增油效果和新增投资两类不确定参数,以经营效益最大化和新增投资最小化为目标,构建了基于SEC准则的油田开发规划不确定优化模型,并利用差分进化算法求解,给出措施工作量的帕累托解集。本文以D油田年度规划为例,通过构建模型并求解,给出开发规划方案集,并进一步分析SEC储量的下降对上市石油公司经营效益、新增投资回报率、油气总产量、油气完全成本和措施工作量的影响,为企业制定开发规划方案提供参考。     

A procedure to design the mainline system in natural gas networks

With the start up of West–East Natural Gas Transmission Project, the construction of natural gas-pipeline will enter on a new era in China. The development tendency will be towards large-diameter, high-pressure and long-distance for natural gas-pipelines. Correspondingly, the life cycle cost of natural gas-pipeline networks is increasing gradually. The mainline system is a vital part of natural gas network systems. The investment required for the mainline system is enormous, usually accounting for 80% of the total investment for this system. In general, the investment required for a gas-pipeline depends on its operating parameters. Therefore, based on the characteristics of gas networks, optimization for investment becomes indispensable to gas networks design. A comprehensive and optimal mathematic model of a gas networks system is established in this paper which considers all the factors influencing the total investment of a gas networks system (e.g. pipe diameter, thickness, pressure, length, compression ratio, etc). From the standpoint of the characteristics of a model comprising both continuous and discrete variables, a new methodology, rank-optimization, is presented. On the basis of this model, a simple and visual high-pressure networks optimization program has been compiled. Furthermore, the developed optimization program has been applied to a practical project and the effects of operating parameters on the total investment have been analyzed. The simulation model in this paper is shown to be an effective method to solve optimization on mainline system in high-pressure gas networks.     

消费-投资增长模型

本文考虑代表性个体既是消费者,又是投资者,假设收益是不确定的,服从一个随机过程,利用随机优化理论和动力系统,给出消费一投资增长模型．分析均衡点的稳定性,并讨论利率、消费税、收入所得税、市场收益的波动率等参数对它们的影响。     

Global plant capacity and product allocation with pricing decisions

Trade-offs in global manufacturing decisions involve markets, resource costs, trade-barriers, currency exchange rates, joint ventures and investments. We develop a model that optimizes plant investment decisions, while ensuring that the plant investment overhead is optimally absorbed by products produced from that plant. The model also, simultaneously, determines prices by products and countries. The special structure of the model is exploited to construct a fast solution procedure. The model is used to study the implications of labor cost, transportation cost, demand, and import tariff on production quantities, investment, and overhead absorption pattern. Implications of changes in other global parameters such as local-content rule, local taxes, size of the market in a country, and long-term exchange rates are also studied.     

Neural network as a simulation metamodel in economic analysis of risky projects

An artificial neural network (ANN) model for economic analysis of risky projects is presented in this paper. Outputs of conventional simulation models are used as neural network training inputs. The neural network model is then used to predict the potential returns from an investment project having stochastic parameters. The nondeterministic aspects of the project include the initial investment, the magnitude of the rate of return, and the investment period. Backpropagation method is used in the neural network modeling. Sigmoid and hyperbolic tangent functions are used in the learning aspect of the system. Analysis of the outputs of the neural network model indicates that more predictive capability can be achieved by coupling conventional simulation with neural network approaches. The trained network was able to predict simulation output based on the input values with very good accuracy for conditions not in its training set. This allowed an analysis of the future performance of the investment project without having to run additional expensive and time-consuming simulation experiments.     

Domestic petroleum-related expertise utilization and Nigeria's oil industry survival: A multicriteria decision analysis

Despite Nigeria's current economic crisis and the need to remove control structures which were originally designed to protect national interest so as to attract foreign investment in upstream activities of its oil sector, the notion of an indigenously controlled oil sector is still alive in the country. The current paper utilizes a multiperiod goal programming model to examine the effect the enforcement of Nigeria's Petroleum Decree on the utilization of domestic petroleum-related expertise would have on the survival of the multinational oil companies and, therefore, of the oil industry. The results indicate that there are some benefits to the nation in enforcing the Decree, but that to do so now will trigger a chain of events that will culminate in the demise of the oil industry. The results also highlight the danger in using legislation to regulate strategic industries and the role operational researchers can play in public policy design and decisions in the future.     

Robust optimal reinsurance–investment strategy with price jumps and correlated claims

This paper considers the robust optimal reinsurance–investment strategy selection problem with price jumps and correlated claims for an ambiguity-averse insurer (AAI). The correlated claims mean that future claims are correlated with historical claims, which is measured by an extrapolative bias. In our model, the AAI transfers part of the risk due to insurance claims via reinsurance and invests the surplus in a financial market consisting of a risk-free asset and a risky asset whose price is described by a jump–diffusion model. Under the criterion of maximizing the expected utility of terminal wealth, we obtain closed-form solutions for the robust optimal reinsurance–investment strategy and the corresponding value function by using the stochastic dynamic programming approach. In order to examine the influence of investment risk on the insurer’s investment behavior, we further study the time-consistent reinsurance–investment strategy under the mean–variance framework and also obtain the explicit solution. Furthermore, we examine the relationship among the optimal reinsurance–investment strategies of the AAI under three typical cases. A series of numerical experiments are carried out to illustrate how the robust optimal reinsurance–investment strategy varies with model parameters, and result analyses reveal some interesting phenomena and provide useful guidances for reinsurance and investment in reality.     

考虑模型不确定的TBP养老金的鲁棒最优投资策略研究

以目标收益养老金计划(TBP)模型研究鲁棒最优投资问题, 其中养老金管理者对模型参数不确定带来的风险是模糊风险厌恶的. 养老金管理者为规避风险和增加收益将投资于无风险资产和风险资产. 考虑连续时间情形, 假设养老金计划参保人的缴费是确定的, 而参保人的收益给付是确定目标收益给付, 资金账户的收益风险由不同代际的参保人共同承担, 同时考虑随机工资及其与金融市场的相关性. 以参保人退休后养老金给付偏离目标的风险和代际之间风险分担的组合最小化为投资决策目标, 并采用指数函数的形式描述实际给付与目标给付的偏离, 利用随机最优控制方法, 建立相应的HJB方程并求解得到最优投资收益策略和最优给付策略的解析解. 通过数值示例分析了模型参数对最优投资和最优给付策略的影响.     

原油期货价格的混沌识别研究

系统复杂性的研究是系统工程的一个热点研究领域。在虚假邻域概念基础上,给出了合适的嵌入参数的确定方法。讨论了分形维与最大Lyapunov指数的计算方法。纽约市场国际原油期货收盘价格时间序列数据的计算表明:这些数据来源于一最大Lyapunov指数值为0.038的混沌吸引子,混沌吸引子分形维为3.625,需用4个变量描述其所在系统的运动规律。此结论为进一步利用混沌理论研究原油期货价格的运动规律、进行相关的投资决策提供了重要信息。     

一类组合投资问题的线性规划解法

根据选定总体风险的一个上界值使组合投资的收益率达到最大的原则，并在合理简化的基础上建立组合投资决策问题的线性规划模型。然后通过算例求解带有参数的线性规划问题，给出资产组合的风险控制值和相应的最大净收益率及投资比例向量的关系。     

A two-stage approach to multi-period allocation of savings among investment plans

This paper presents a two-stage multi-period decision model for allocation of the individual's savings into several investment plans. Although the U.S. economy is used as the background, the modelling methods are general enough to accommodate any tax law. The first stage of the model uses an asset-allocation method based on the single-index model. Because this method is static and does not provide for tax considerations and other constraints, it alone is not enough. The output of this optimal selection is used as exogenous parameters and controls for the second stage of the model which is an integer program. The IP includes fixed charges, statutory and budgetary constraints, a discount rate, and the risk level. We provide an example of this approach to illustrate how an individual can achieve his goals of terminal accumulations while maintaining the risk level, measured by the aggregate beta, he prefers. A linear programming relaxation of the IP model is utilized for sensitivity analysis to examine whether future adjustments in investment strategies are required. The model remains tractable enough for implementation by individuals who may not be experts in mathematical programming and financial planning.     

含交易费用的证券组合投资模型的满意解

在证券组合投资过程中,忽略交易费用会导致非有效的证券组合投资,本文提出了一个考虑交易费用的证券组合投资的区间数线性规划模型,通过引入区间数线性规划问题中的目标函数优化水平参数λ和约束条件满足水平参数η将目标函数和约束条件均为区间数的区间数线性规划模型转化为确定型的一般线性规划模型,进而求得相应于优化水平λ和满足水平η的满意解.     

基于在险价值的物流网络规划模糊两阶段模型与精确求解方法

针对物流网络规划问题中顾客需求和运输成本的不确定性,使用在险价值量化投资风险,建立了以投资损失的在险价值最小化为目标的模糊两阶段物流网络规划模型。对于模型中不确定参数均为规则模糊数的这一类模糊两阶段规划模型,本文通过理论分析和证明将其转化为等价的确定一阶段规划模型进行求解,从而将无穷维的优化问题转化为有限维的经典优化问题,降低了计算难度且得到了模型的精确解。不同规模的数值实验证实了所提出模型及其求解方法的有效性。     

扩散风险模型下再保险和投资对红利的影响

对扩散风险模型,研究了比例再保险和投资对红利的影响．在常数边界分红策略下,得到了使得期望贴现红利最大的最优比例再保险和投资策略的显示表达式,并得到最大期望贴现红利的显示表达式．最后,通过数值计算得到了再保险和投资对期望红利的影响,以及最优投资策略与各参数之间的关系．     

贝叶斯方法在养老基金资产负债管理中的应用

把一个静态资产负债管理模型———均值方差模型应用到定额给付养老金计划的资产负债管理中,在允许无风险借贷的条件下研究养老金在无风险资产和风险资产间的分配问题,用定量分析的方法求出了最优投资组合的一般形式;又针对投资收益率特征参数未知的情况,提出了矩估计和贝叶斯估计两种方法求解最优资本配置比例,将两种方法的结果与一般形式对比,分析了影响最优投资组合的因素,得知养老基金在风险资产中的投资比例与基金经理对风险的厌恶程度、风险资产的风险益酬、风险资产收益率的波动性成负相关关系;并且随决策者掌握的历史信息增加,在风险资产上的投资比例也随之增加,投资行为逐渐趋于理性化;对上述结果进行仿真,验证了结论的有效性。