Portfolio Optimization Of Chinese Overseas Oil & Gas Assets Based On CVaR

With oil industry goes forward to international market,overseas oil and gas business has become increasingly important in China.It is of great significance for the risk balance of offshore oil and gas assets in China by establishing a portfolio risk assessment system based on CVaR,and it could optimize the overall oil and gas assets.In order to research the overall optimal problem of overseas oil and gas assets,the portfolio optimization model based on CVaR is been built.Based on the model,political risk and contract risk are also involved to form a set of overseas risk assessment system,and ultimately overseas projects of a large domestic oil company is been considered for the case of applied research.First of all,a preliminary optimization is been made by using portfolio theory.Then,according to CVaR theory,the portfolio model of overseas oil and gas assets is been constructed,and the maximum potential losses of portfolio assets and the optimal proportion of each asset are calculated.Meanwhile,the political risk and contract risk are also been considered to form a more comprehensive risk system.The analysis shows that:(1)Based on CVaR,the optimized assets are mainly focused on projects with moderate returns and less risk,and those whose marginal CVaR are smaller or negative,their proportion will increase significantly to contribute to the portfolio CVaR.(2)Considering political risk,it is found that some projects should decrease their proportion further.(3)Foreign oil companies are more inclined to choose PSC and royalty and tax contract,the risk service contracts are too harsh.