石油公司投资组合优化模型研究

©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(1.,300072)(2.,100011):,,,.,,.:;;1:2003201204,,,,,.,,.2(ModernportfolioTheory,MPT)Markowitz.1952,Markowitz,..1),.,,,.2),.,Markowitz.Markowitz,,.,Markowitz,,,,.,©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.)2)3)4)5)6)7)3121):.:,.:.:.:.:.2):..3131)E(Ri)=P1r1+P2r2++PNrN(1)E(Ri),ir1,r2,,rN,i1,2,,NP1,P2,,PN,i1,2,,N2)var(Ri)=P1[r1-E(R1)]2+P2[r2-E(R2)]2++PN[rN-E(RN)]2(2)4133©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(Ri)=var(Ri)(3),.:cov(Ri,Rj)=P1[ri1-E(Ri)][rj1-E(Rj)]+P2[ri2-E(Ri)][rj2-E(Rj)]++PN[riN-E(Ri)][rjN-E(Rj)](4)ri1,ri2,riN,i1,2,,Nrj1,rj2,,rjNj1,2,,NP1,P2,,PN,ij1,2,,N:.,:cor(Ri,Rj)=cov(Ri,Rj)SD(Ri)SD(Rj)(5)3)E(Rp)=W1E(R1)+W2E(R2)++WNE(RN)(6)E(Rp),PW1,W2,,WN,1,2,,NPvar(Rp)=Gg=1W2gvar(Rg)+Gg=1Gh=1WgWhcov(Rg,Rh),(hg)(7)I(Rp)=W1I1+W2I2++WNIN(8):I1,I2,,IN,.NPV(Rp)=W1NPV1+W2NPV2++WNNPVN(9):NPV1,NPV2,,NPVN,.4)1E(Rp)=W1I1E(R1)+W2I2E(R2)++WNINE(RN):Ii=IiöI0(10)2var(Rp)=Gg=1W2gvar(Rg)+Gg=1Gh=1WgWhcov(Rg,Rh),(hg)(11)1W1I1+W2I2++WNIN=I0(12)I1,I2,,IN,1,2,,N2514:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(13)Ro1,Ro2,,RoN,1,2,,Nb0b1.3C0W1Rg1+W2Rg2++WNRgNC1(14)Rg1,Rg2,,RgN,1,2,,NC0C1.4W1CE1Rd1+W2CE2+Rd2++WNCENRdNW1Rd1+W2Rd2++WNRdNCE0(15)CE1,CE2,,CEN,1,2,,NRd1,Rd2,,RdN,1,2,,N5W1Osc1+W2Osc2++WNOscNOsc0(16)Osc1,Osc2,,OscN,1,2,,N6,.W1Gsc1+W2Gsc2++WNGscNGsc0(17)Gsc1,Gsc2,,GscN,1,2,,N7W1CD1Rddy1+W2CD2Rddy2++WNCDNRddyNW1Rddy1+W2Rddy2++WNRddyNCD0(18)CD1,CD2,,CDN,1,2,,NRddy1,Rddy2,,RddyN,1,2,,N8W1Cczf1P1+W2Cczf2P2++WNCcfzNPNW1P1+W2P2++WNPNCczf0(19)Cczf1,Cczf2,,CczfN,1,2,,NP1,P2,,PN,1,2,,N9W1Gs1+WGs2++WGsNGs0(20)Gs1,Gs2,,GsN,1,2,,N10Lyi0W1Lyi1+W2Lyi2++WNLyiNLyi0(21)Lyi1,Lyi2,,LyiN,1,2,,N11a.6133©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(22)Yxi1,Yxi2,,YxiN,1,2,,Nb.Hsi0W1Hsxi1+W2Hsi2++WNHsiNHsi0(23)Hsi1,Hsi2,,HsiN,1,2,,NHxi0W1Hxi1+W2Hxi2++WNHxiNHxi0(24)Hxi1,Hxi2,,HxiN,1,2,,NHji0W1Hji1+W2Hji2++WNHjiNHji0(25)Hji1,Hji2,,HjiN,1,2,,N12W1Kci1+W2Kci2++WNKciNKci0(26)Kci1,Kci2,,KciN,1,2,,Ni13iW1Jyi1+W2Jyi2++WNJyiNJyi0(27)Jyi1,Jyi2,,JyiN,1,2,,Ni14W1Cjg1Ply1+W2Cjg2Ply2++WNCjgNPlyNW1Ply1+W2Ply2++WNPlyNCjg0(28)Cjg1,Cjg2,,CjgN,1,2,,NPly1,Ply2,,PlyN,1,2,,N15W1Czz1Qhg1+W21Czz2Qhg2++WNCzzNQhgNW1Qhg1+W21Qhg2++WNQhgNCzz0(29)Czz1,Czz2,,CzzN,1,2,,NQhg1,Qhg2,,QhgN,1,2,,N16W1Sxs1Qxs1+W2Sxs2Qxs2++WNSxsNQxsNW1Qxs1+W2Qxs2++WNQxsNSxs0(30)Sxs1,Szs2,,SxsN,1,2,,NQxs1,Qxs2,,QxsN,1,2,,N17WKT1I1+WKT2I2++WKTNIN=IKT0(31)WKT1,WKT2,,WKTN,1,2,,N18WLY1I1+WLY2I2++WLYNIN1=ILY0(32)WLY1,WLY2,,WLYN,1,2,,N714:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=IGD0(33)WGD1,WGD2,,WGDN,1,2,,N20WHG1I1+WHG2I2++WHGNIN=IHG0(34)WHG1,WHG2,,WHGN,1,2,,N21iWDQilI1+WDQi2I2++WDQiNIN=IDQi0(35)WDQi1,WDQi2,,WDQiN,1,2,,Ni22Wi=1(36)23W1E(R1)+W2E(R2)++WNE(RN)S0-$S(37)W1E(R1)+W2E(R2)++WNE(RN)S0+$S(38)24Gg=1W2gvar(Rg)+Gg=1Gh=1WgWhcov(Rg,Rh)F0-$F(39)Gg=1W2gvar(Rg)+Gg=1Gh=1WgWhcov(Rg,Rh)F0+$F(40)25W1I1+W2I2++WNINI0-$I(41)W1I1+W2I2++WNINI0+$I(42)4,01,,,.4111):(11),(12)(36),,,1AB,.:,,1a1,a2,,aN.:(10).(11)Var(Rp),(12)(36),,,1b1,b2,,bN,c1,c2,,cN.:,,,,8133©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.)(10),(12)(36),,1C,;,1AC.3):(10)(11),,2E,,.:.(10),(11)var(Rp),(12)(36),,,2E2.:.(11),(10)E(Rp),(12)(36),,,2E1.:EE1,,A(,).:EE2,,C(,).412,,,914:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(13)(42),.413.:(12)I0,(13)(36),,,.5,:1),,,.2).:[1]WilliamFSharp(),().(PortfolioTheoryandCapitalMarkets)[M].:,2001.[2]MarkowitzHM(),,().(PortfolioSelection:EfficientDiversificationofInvestments)[M].:,2000.[3]ChopraV,ZiembaW.Theeffectoferrorsinmeans,variances,andcovarianceonoptimalportfoliochoice[J].JournalofPortfolioManagement,1993,19:611.0233©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[4]FarrellJamesLJr.Systematicportfoliomanagement:evolution,currentpracticeandfuturedirection[J].FinancialAnalysisJournal,September2October1993.1216.[5]BoothDavid,EugeneFama.Diversificationreturnsandassetcontributions[J].FinancialAnalystsJournal,May2June1992.2632StudyOnPortfolioModelinPetroleumEnterprisesWUMei1,2,HANWen2xiu1,LINSheng1(1.ManagementScienceatManagementEngineering,ManagementSchool,TianjinUniversity,Tianjin300072,China)(2.PlanningDepartment,PetrochinaCompanyLimited,Peking100011,China)Abstract:Capitaloptimizationandprojectselectioninpetroleumenterprisesisarealproblemofthepetroleumindustry.Tosolvetheproblemscientificallycanimprovetheefficiencyofinvestment,andhelpthepetroleumindustrydevelophealthily.Inthispaper,basedoncharacteristicsofpetroleumproject,Portfoliotheoryisusedtoestablishthepetroleumprojectscap