PORTFOLIO OPTIMIZATION TECHNIQUE OF OIL AND GAS COMPANY’ ASSETS


Gerasimova K.E., Naumova O.A.

In current economic conditions, companies are to choose the path of development (ex-tensive or intensive). This study discusses a possible use of an intensive development path as an example of Rosneft PJSC through changing the structure of the company`s asset portfolio. The relevance of the study is to find a solution to the problem of increasing profitability and reducing the risks of existing assets in the portfolio. The study is an improvement of the meth-odology for determining the most efficient distribution of assets in the company`s portfolio under changing economic conditions and financial indicators of the business. The authors ana-lyze ways to optimize the asset’s portfolio from the point of view of the modern Markowitz portfolio theory. The study works out optimized portfolios with the goal of maximizing prof-itability and minimizing risks. Considering the optimal portfolios, the best one is chosen for Rosneft, the economic efficiency of the selected portfolio is calculated compared with the current one in 2019, a forecast is made of the distribution of assets and revenue of the ana-lyzed company for 2020, the economic efficiency of the best portfolio of forecasts for 2020 is calculated. According to the results of the study, the modern Markowitz theory should be ap-plied not only based on data for past periods, but also based on projected indicators. During the study, Markowitz portfolio theories, Sharp, and Defensive Portfolio are considered, fore-casting and model estimation using the Gretl program are used. Calculation of investment portfolios is made through Excel packages Data Analysis and Search for Solutions. Keywords: asset portfolio, oil and gas company, Markowitz portfolio theory, minimiz-ing risk, maximizing portfolio returns, economic efficiency. Highlights: portfolio theory Markowitz - the most effective and reliable technique for large enter-prises; the possibility of applying modern portfolio theory for oil and gas enterprises; adjustment of calculations of the portfolio theory of Markowitz considering the specif-ics of the assets of oil and gas enterprises; obtaining economic efficiency in cash.

Kristina Ed. Gerasimova, a leading specialist of LLC RN-Uchet, Samara; Olga A. Naumova, Candidate of Economics, Associate Professor of Samara State University of Economics.


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