Title: A forward modelling approach to optimise the portfolio of projects among oil companies under uncertainty: a reactive two-stage stochastic model

Authors: Mohsen Fayyazi; Siamak Haji Yakhchali; Mir Saman Pishvaee; Fariborz Jolai

Addresses: Department of Industrial Engineering, Kish International Campus, University of Tehran, Tehran, Iran ' School of Industrial Engineering, College of Engineering, University of Tehran, Tehran, Iran ' School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran ' School of Industrial Engineering, College of Engineering, University of Tehran, Tehran, Iran

Abstract: Because of high volatility in oil price, oil companies should change their strategies along with changing oil prices. Thus, dynamic portfolio management is strongly recommended to increase the rate of oil production and determine resource allocation for projects in each period of the planning horizon. To achieving the objective, a two-stage stochastic mathematical model is developed to optimise the portfolio of oil projects. To make the model more realistic, splitting the projects and their resumption are permitted. To solve the model, a robust optimisation approach is designed, and the results of the robust and two-stage stochastic designs are compared. These comparisons are based on a realisation algorithm developed by this study. To illustrate the capability and power of the stochastic model in handling the uncertainty, a case study on an oil company is presented.

Keywords: portfolio management; resource assignment; project scheduling; stochastic programming; robust optimisation.

DOI: 10.1504/IJISE.2022.127417

International Journal of Industrial and Systems Engineering, 2022 Vol.42 No.4, pp.427 - 451

Received: 02 Dec 2019
Accepted: 05 Feb 2021

Published online: 05 Dec 2022 *

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