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Optimización estocástica de un portafolio para proyectos del sector hidrocarburos

Author

Listed:
  • Juan Fernando Subirana Osuna

    (YPFB Andina S.A.)

Abstract

En el presente documento se presenta una propuesta metodológica para la aplicación de la teoría clásica de portafolios a una cartera de activos potenciales, a efectos de exponer la misma se emplea un estudio de caso. El caso analizado corresponde a una empresa del sector hidrocarburos en Bolivia con una cartera de doce proyectos con restricciones de capital y capacidad de ejecución de los mismos. Se realiza una revisión del marco normativo aplicable y características técnicas de cada proyecto, añadiendo el factor de la volatilidad de las variables de entrada al modelo. Con todo ello se analizan tres opciones de funciones objetivos sobre la generación de valor del portafolio de proyectos. Finalmente sepresentan los resultados alcanzados con la optimización estocástica y el portafolio de proyectos elegidos.

Suggested Citation

  • Juan Fernando Subirana Osuna, 2015. "Optimización estocástica de un portafolio para proyectos del sector hidrocarburos," Investigación & Desarrollo, Universidad Privada Boliviana, vol. 2(15), pages 90-106.
    • Handle: RePEc:iad:wpaper:0615
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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • O10 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - General

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