| 基于动态模型的油田勘探开发项目的投资优化 |
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| 引用本文： | 闫伟. 基于动态模型的油田勘探开发项目的投资优化[J]. 中国石油大学学报(自然科学版), 2006, 30(6): 141-144 |
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| 作者姓名： | 闫伟 |
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| 作者单位： | 中国石油大学,信息与控制工程学院,山东,东营,257061 |
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| 基金项目： | 国家重点基础研究发展计划(973计划) |
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| 摘 要： | 应用均值-方差理论，建立了油田勘探开发项目投资组合的动态数学模型，该模型是一个带约束的随机线性二次型（LQ）控制方程。在得出该动态数学模型对应的随机哈密顿-雅克比-贝尔曼（HJB）方程后，运用随机LQ控制的相关理论讨论了该随机HJB方程的解。利用该模型，针对某个油田勘探开发项目的实际情况，求出了其投资的有效边界和最佳策略。
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| 关 键 词： | 油田勘探开发 投资优化 动态模型 均值-方差理论 有效边界 |
| 收稿时间： | 2005-05-31 |
Portfolio in oilfield exploitation and development based on dynamic model |
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| YAN Wei. Portfolio in oilfield exploitation and development based on dynamic model[J]. Journal of China University of Petroleum (Edition of Natural Sciences), 2006, 30(6): 141-144 |
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| Authors: | YAN Wei |
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| Affiliation: | College of Information and Control Engineering in China University of Petroleum, Dongying 257061, Shandong Province, China |
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| Abstract: | A dynamic model for portfolio of oilfield exploitation and development was established by using mean-variance criterion.The model is concerned with a stochastic linear-quadratic(LQ) control problem.The corresponding Hamilton-Jacobi-Bellman(HJB) equation of the problem was presented.And the solution of the stochastic HJB equation was demonstrated with stochastic LQ control theory.The protfolio in exploitation and development of certain oil field was researched by using the model.The efficient frontier and optimal strategies of the investment were obtained. |
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| Keywords: | oilfield exploitation and development portfolio dynamic model mean-variance criterion efficient frontier |
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