Dynamic risk management in petroleum project investment based on a variable precision rough set model

doi:10.1016/j.techfore.2010.01.013

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	Dynamic risk management in petroleum project investment based on a variable precision rough set model
	Xie, Gang1 ; Yue, Wuyi 2; Wang, Shouyang1 ; Lai, Kin Keung 3
	2010-07-01
发表期刊	TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE
ISSN	0040-1625
卷号	77 期号:6 页码:891-901
摘要	In this paper, an adaptive algorithm is designed for dynamic risk management in petroleum project investment based on a variable precision rough set (VPRS) model. In risk management, at each stage of decision-making, experts are invited to identify risk indices and support the decision-maker in evaluating the risk exposure (RE) of individual projects. The VPRS model is used to mine risk rules and determine the significance of risk indices from RE decision tables. Considering that there are multiple risks involved in any petroleum project investment, we use multi-objective programming to obtain the optimal selection of projects with minimum RE, where the significance of risk indices is assigned to each of the corresponding multi-objective functions as a weight. Moreover, we develop a risk ranking model to measure the degree of risk for individual projects in a portfolio. Finally, a numerical example based on a Chinese petroleum company's investments in overseas projects is presented to illustrate the proposed approach, and then conclusions are drawn. (C) 2010 Elsevier Inc. All rights reserved.
关键词	Dynamic risk management Petroleum Variable precision rough set Multi-objective programming
DOI	10.1016/j.techfore.2010.01.013
语种	英语
WOS研究方向	Business & Economics ; Public Administration
WOS类目	Business ; Planning & Development
WOS记录号	WOS:000280040700006
出版者	ELSEVIER SCIENCE INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/10181
专题	系统科学研究所
通讯作者	Xie, Gang
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Konan Univ, Dept Intelligence & Informat, Kobe, Hyogo 6588501, Japan 3.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Xie, Gang,Yue, Wuyi,Wang, Shouyang,et al. Dynamic risk management in petroleum project investment based on a variable precision rough set model[J]. TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE,2010,77(6):891-901.
APA	Xie, Gang,Yue, Wuyi,Wang, Shouyang,&Lai, Kin Keung.(2010).Dynamic risk management in petroleum project investment based on a variable precision rough set model.TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE,77(6),891-901.
MLA	Xie, Gang,et al."Dynamic risk management in petroleum project investment based on a variable precision rough set model".TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE 77.6(2010):891-901.