كاربرد روش قيمت گذاري دارايي سرمايه اي ( CAPM ) در تخصيص بهنيه ذخاير گاز طبيعي

Applying The Capital Asset Pricing Model In The Natural Gas Allocation To Different Projects Problem

Today the application of portfolio management techniques have exceeded beyond the realm of stock markets and expanded into the management of oil and gas projects. Present paper recommends to combine the Markowitz" portfolio optimization and capital asset pricing model as a new method considering existing limited natural gas resources, gas export projects, expansion of petrochemical complexes fed by natural gas and gas injection projects. Through this method which is used for the first time for solving this problem, efficient portfolios are first recognized. These portfolios are obtained from different allocations to diversified options of natural gas consumption and provides maximum value under different risks. The series of these efficient portfolios give rise to frontier efficiency function and curve. Then, by means of the capital asset pricing model (CAPM) which is a simple correlation between expected return and investment risk in a competitive market, an optimum efficient portfolio is determined. To this end, all possible portfolios are definitely evaluated so that the capital market line can be drawn. As a result the optimum combination is hammered out where the efficiency function curve crosses the capital market line. The final results of the calculations by this method indicate optimum portfolios with diversified combinations of petrochemicals, gas injection and natural gas exports projects under five scenarios of 100 MMCM, 200 MMCM, 300 MMCM, 400 MMCM and 500 MMCM of produced natural gas along with the expected value and equivalent risk.