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

Gang Xie; Wuyi Yue; Shouyang Wang; Kin Keung Lai

doi:10.1016/j.techfore.2010.01.013

Author(s)

Gang Xie
Wuyi Yue
Shouyang Wang
Kin Keung Lai

Related Research Unit(s)

Department of Management Sciences

Detail(s)

Original language	English
Pages (from-to)	891-901
Journal / Publication	Technological Forecasting and Social Change
Volume	77
Issue number	6
Publication status	Published - Jul 2010

Link(s)

DOI	DOI https://doi.org/10.1016/j.techfore.2010.01.013 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-77953871904&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(94141017-1790-44ae-be4e-cd520a2cea59).html

Abstract

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. © 2010 Elsevier Inc.