期刊
INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
卷 43, 期 10, 页码 1883-1890出版社
TAYLOR & FRANCIS LTD
DOI: 10.1080/00207721.2011.555011
关键词
exploration and development; portfolio; multi-period semi-variance; hybrid GA with PSO
类别
资金
- National Major Gas Fields & Coalbed Methane Production, China [2008ZX05001]
- Research of Basin Modelling, Petrochina [2008A-0602]
Variance is substituted by semi-variance in Markowitz's portfolio selection model. For dynamic valuation on exploration and development projects, one period portfolio selection is extended to multi-period. In this article, a class of multi-period semi-variance exploration and development portfolio model is formulated originally. Besides, a hybrid genetic algorithm, which makes use of the position displacement strategy of the particle swarm optimiser as a mutation operation, is applied to solve the multi-period semi-variance model. For this class of portfolio model, numerical results show that the mode is effective and feasible.
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