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JOURNALS // Problemy Upravleniya // Archive

Probl. Upr., 2015 Issue 6, Pages 46–52 (Mi pu945)

Control in the socio-economic systems

Oil company value risk-based management under oil price uncertainty

V. Y. Korotina, A. M. Ulchenkovb, R. T. Islamovc

a Moscow
b Moscow
c Moscow

Abstract: Considered is a debt structure optimization problem to maximize oil company value under oil price uncertainty, based on quantile criteria. Suggested is a guaranteeing (by probability) solution search algorithm, giving a solution that maximizes the company value.

Keywords: quantile optimization, stochastic optimization, uncertainty analysis, risk-management.

UDC: [622.32.+622.24]:658.152



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