مقاله سال ۲۰۱۶

 مجله امگا – Omega

The selection of the best investment projects within a set of alternatives is crucial to any firm facing competition. Moreover, the ability to build portfolios that efficiently allocate scarce resources contributes to the achievement of corporate goals in the long run. Typically, a portfolio’s expected.

profit is considered the single most important corporate goal to be maximized; however, it is not the only one: the fitness of a firm’s portfolio should also involve a measure of the portfolio’s volatility or risk. For instance, a portfolio with very attractive expected profits might expose the company to a large loss with high probability, whereas a low-risk portfolio might secure the company lower but more certain profits. For these reasons, the problem of selecting projects to create an optimal risk-reward portfolio has been actively considered in the literature [cf., 10, 36, 38].

A keystone economic sector where the problem of selecting an appropriate portfolio of project investments arises is the upstream oil and gas industry. In this sector, the project investment’s returns are subject to high uncertainty, mainly driven by factors like geology, equipment costs, oil selling price, well production levels, and oil quality, among others. In a typical project, the profit’s probability distribution is usually asymmetrical (skewed), exhibiting a high probability of low profits and a low probability of high profits [37]. Moreover, given the significant amount of investment required to carry out a project, managers and investors in this industry have a strong bias against underperforming portfolios [26, 30, 34, 35], leaning towards downside-risk measures to quantify the risk of investment [33].