Optimization of real asset portfolio using a coherent risk measure: application to oil and energy industries

摘要

We consider the problem of optimally determining an investment portfolio for an energy company owning a network of gas pipelines, and in charge of purchasing, selling and distributing gas. We propose a two stage stochastic investment model which hedges risk by means of Conditional Value at Risk constraints. The model, solved by a decomposition method, is assessed on a real-life case, of a Brazilian integrated company that operates on the oil, gas, and energy sectors.