2007 硕士论文 98页

TABLE OF CONTENTS
ABSTRACT........................................... iii
DEDICATION .................................... iv
ACKNOWLEDGEMENTS ............... v
NOMENCLATURE............................. vii
TABLE OF CONTENTS................................... x
LIST OF FIGURES............................................ xii
LIST OF TABLES .................... xiv
CHAPTER
I INTRODUCTION........................................... 1
II LITERATURE REVIEW..................................................................... 5
2.1 Financial Portfolio Management .................................................... 5
2.2 Petroleum E&P Portfolio Management.......................................... 7
2.3 Price Uncertainty Quantification.................................................... 9
III METHODOLOGY............................................................................... 11
3.1 Oil Price Forecasting Module ........................................................ 11
3.2 Production Forecasting Module ..................................................... 19
3.3 Cash Flow and Performance Evaluation Module........................... 31
3.4 Portfolio Optimization.................................................................... 39
IV RESULTS AND ANALYSIS .............................................................. 50
4.1 Analysis of Efficient Portfolios...................................................... 50
4.2 Sensitivity Analysis of Individual Projects .................................... 56
V CONCLUSIONS.................................................................................. 60
xi
REFERENCES.......................................................................................................... 62
APPENDIX A ........................................................................................................... 66
VITA ......................................................................................................................... 84

FIGURE Page
3.1 Value of July 1, 2007 US dollar................................................................. 12
3.2 WTI actual historical prices and prices brought to common
July 2007 dollars ........................................................................................ 12
3.3 Histogram of inflation adjusted oil price data............................................ 13
3.4 Normal score transformed oil price data .................................................... 13
3.5 Histogram of normal score transformed oil price data............................... 14
3.6 Semivariogram of normal score transformed oil price data ....................... 15
3.7 Uninflated SGS oil price forecasts ............................................................. 18
3.8 Inflated SGS oil price forecasts.................................................................. 18
3.9 Correlation between different parameters in the volumetric
estimates formula ....................................................................................... 21
3.10 Distribution of OOIP, n =1000................................................................... 22
3.11 Distribution of hyperbolic exponent b in nature ........................................ 25
3.12 n =100 realizations of accelerated profile type and average
profile curve shape ..................................................................................... 27
3.13 n =100 realizations of delayed profile type and average
profile curve shape ..................................................................................... 28
3.14 n =100 realizations of centered plateau profile type and average
profile curve shape ..................................................................................... 29
3.15 n =100 realizations of EOR profile type and average profile
curve shape................................................................................................. 30
3.16 Typical E&P project cash flow scheme used in the model ........................ 32
xiii
FIGURE
3.17 Cumulative after tax net cash flow curves ................................................. 35
3.18 Distribution of NPV calculated at 12% discount rate ................................ 36
3.19 Distribution of GRR calculated at 12% discount rate, t=25 years ............. 37
3.20 Distribution of PI calculated at 12% discount rate..................................... 38
3.21 Opportunity set available to the investor (return measure – PI) ................ 46
3.22 Opportunity set available to the investor (return measure – GRR)............ 48
3.23 Opportunity set available to the investor (return measure – NPV) ............ 49
4.1 Efficient frontier (return measure – PI)...................................................... 50
4.2 Efficient portfolio structures for region 1 (a), 2 (b), 3 (c), 4 (d), and 5 (e) 52
4.3 Efficient frontier (return measure – GRR) ................................................. 54
4.4 Efficient portfolio structures for region 1 (a), 2 (b), and 3 (c) ................... 55
4.5 Project sensitivity analysis charts............................................................... 58