Gabriel Alves da Costa Lima

An improved visualization-based approach for project portfolio selection

We propose a 2-step interactive approach for solving a project portfolio selection problem as a single-criterium optimization problem. Our approach innovates by using two coordinated charts: an interactive project timeline with drag-and-drop functionalities for project reallocation in time; and an interactive cost and risk chart that combines line charts and bar charts in order to present multidimensional time-based datasets. We also use bar charts related to the allocation of man-hour resources. These functionalities enable users to refine the model that is fed into optimization software in order to achieve results that better correspond to their expectations. We discuss results of a heuristic-based usability evaluation of our prototype, its use in real scenarios, and present preliminary positive feedback from users. We present a visualization approach for a single-criterium optimization problem.We propose an interactive dashboard of costs, risks and project allocation in time.We propose an interactive chart of man-hour data.We present a new cluster-based layout for timelines with draggable events.

Comparative Analysis of Optimal Oil Production Strategy using Royalty & Tax and Production Sharing Petroleum Fiscal Models

After recent discoveries of large oil reserves in pre-salt areas of Brazil, the government has proposed a change in the current fiscal regime from Royalty & Tax to Production Sharing Contracts. The government wishes to implement the production sharing system to earn higher revenues, believing that this is the best policy to improve State gains to be transferred to society. In this new environment and focusing on the oil production strategy selection process, it is required to know if: 1) the production strategies are the same or different for both models 2) the same technical-economic indicators are suitable to be used to select the optimal production strategy in both systems. Nowadays, there is no clear convergence of points of view to answer these issues, although some debates among professionals and government are taking place. The aim of this paper is to present a comparative analysis of the optimum exploitation strategy for both fiscal models, regarding number of injection and production wells and, their allocation in the reservoir. This objective is accomplished following a production-strategy optimization that combines manual and automatic procedures to maximize the company NPV accounting for the assumption of a known behavior of oil prices. Sensitivity analyses of government take to oil price and cost recovery limits are carried out. The results show that the choice of the optimal-production strategy to maximize NPV depends on the fiscal regime. In addition, the government take is reduced with the increase of oil prices. For any oil price, the government take in the production sharing contract system is higher than in R&T, so that it is one of the reasons why it is more interesting from the government’s point of view. Besides, the increase of cost recovery limit implies in a reduction of the government take up to a stable value. Introduction According to ANP (2011), currently Brazil has approximately 14 billion barrels of oil but, over last decade, the area named Pre-Salt (rocks below salt-rock formation) in Brazil has been the stage of large oil field discoveries. Some information from the media indicates that Brazilian oil reserves may increase from 14 billion to 33 billion barrels with these new reserves expected in the Pre-Salt area.Oil reserves are hosted in rock at a depth between 4000 m and 6000 m. Table 1 shows some features of oil fields discovered over the last decade. Table 1: Some features of large oil discoveries in the area of Brazilian Pre-Salt Oil Field Discovery year Oil reserve (billion barrels) API Participation of Petrobras

A GRASP-based Heuristic for the Project Portfolio Selection Problem

The project portfolio selection (PPS) problem consists of constructing a project portfolio, that is, a selection of projects scheduled over a period of time using various, potentially conflicting, criteria and resource constraints. The PPS is a well-known problem, recurrently occurring in several applications, with a rich history of approaches for modeling it and a large number of techniques for solving it. In this work we present a model for the PPS problem based on a real-world situation of selection and scheduling of projects in the power generation industry. We also propose a heuristic, based on the metaheuristic GRASP, to solve the problem, and assess its quality and performance through computational experiments. We describe the implementation of a decision support system prototype for the PPS problem that uses the proposed heuristic and includes several usability features that may help decision makers through the selection process.

Proposed Brazilian Fiscal System for Pre-Salt Production Projects: A Comparative Study of Gain and Loss of Government and Companies

After the discovery of large oil reserves in pre-salt areas of Santos Basin, the Brazilian government has changed the fiscal regime from royalty/tax system to production sharing system, which is the one already adopted in countries like Indonesia, Colombia, among others. The proponents of this idea say that it is necessary, because after these discoveries the exploration risk in this area is low. The proposed fiscal regime has created an intense debate among professionals, institutions and government. Who will be the winner? Who will be the looser? How much will be the loss or gain? At this moment, there is not clear convergence of viewpoint about the forecasting of the impacts on new investment. The reason for the implementation of production sharing system is because government wishes to capture a larger share of the profits. How? Politicians believe that the following policy could bring more benefits to government: in the bidding to new productions projects, the winner will be the company that offers the largest share of production to government. Then, the main objective of this paper is to investigate the behavior of the proposed fiscal regime in terms of production profile, NPV and risk, etc. In order to carry out this study, first, a typical oil field project from the pre-salt area is selected, whose characteristics are: large reserve, located in deep-water and bellow salt layer. After that, it is carried out an economic evaluation, comparison and risk analysis of a production strategy considering both regimes of concession and production-sharing. It is concluded that, it is not always that production-sharing agreement is superior, since it depends on the share of government in production, investment level, operation cost, among others. 1 INTRODUCTION The fiscal regime for oil and gas exploration and production is an important subject in industry game and has attracted attention of many authors – For example, Van Meurs (1993), Johnston (1994) and, Johnston (2004). This subject is important because it is one of the determinants of the attractiveness of Exploration and Production (E&P) of oil and gas. In Brazil, the oil industry has been growing since 1997 when the Government decided to open the market for competition in the E&P, since many companies believe in the natural endowment of country in its more than 8 million square kilometers. Over the last 13 years, the investment of companies in E&P has increased year by year and the amount government has collected in bonuses has arrived at billion of US dollars – for more information about detailed statistics, see www.anp.gov.br. The fiscal regime that allowed the exploration effort over the last years is the Royalty and Tax (R&T), in which, companies assume the risk in exploration and, in case of success, pay tax, fees and royalty to government. Under this fiscal regime, huge reserves have been discovered in the Pre-Salt area, mainly Tupi and Iara oil fields, whose estimates are around 7 billion barrels and 4 billion barrels, respectively (these number come from public information in newspapers). Because of this new scenario of discoveries, many politicians have warned that: 1) the risk of the prospects of Pre-Salt area has decreased; 2) the way money from E&P activities has been distributed among different institutions must change. Then, a new fiscal regime based on Production Sharing agreement has been proposed and is under way for discussions, amendment and approval by Brazilian House of Representatives. One of the main roles of the fiscal agreements is to allocate the rights for development and operation of specific business

A Visualization-Based Approach for Project Portfolio Selection

We propose a 2-step interactive approach for solving a project portfolio selection problem as a single-criterium optimization problem. Our approach innovates by using two coordinated charts: an interactive project timeline with drag-and-drop functionalities for project reallocation in time; and an interactive cost and risk chart that combines a line chart and several bar charts in order to present multidimensional time-based datasets. These functionalities enable users to refine the model fed into optimization software in order to achieve results that better correspond to their expectations. We discuss the use of our prototype in real scenarios, and present preliminary positive feedback from users.

Impacto de diferentes métricas de risco na seleção de portfólios de projetos de produção de petróleo

The portfolio selection process for projects involving the exploration and production of oil is a complex task, passing through different steps until and optimum solution is achieved, revealing the best portfolio. This paper presents a methodology for portfolio selection considering semi-standard deviation as a measure of risk. The methodology is applied to a set of six oil production projects located in the Campos Basin, where the risk minimization is subject to a certain return. Genetic algorithms are used as the optimization tool.. The portfolio selection was performed by maximization of the certainty equivalent, for different values of risk aversion coefficients. The results show that the semi-standard deviation presents better sensitivity in portfolio selection with projects that have a large magnitude of risk and return.

Investment decision in oil and gas projects using real option and risk tolerance models

This paper presents a model for valuation and decision making, integrating discounted cash flow, real-options pricing and preference theory, aiming to cover the following questions: i) what is the current value of a project?; ii) what is the optimal investment rule?; iii) what is the optimal working interest? The traditional model suggests that, when the project value is above its investment cost, the corporation should invest immediately and incur in 100% working interest. The real option pricing suggests that the corporation should only invest if the projects current value is at least 1.85 times investment cost. The preference theory suggests funding only 44.38% working interest, and partners must acquire the remaining 55.62%. These tools must be integrated in order to allow a more realistic treatment of risk. In general, when the uncertainty (volatility) of cash flow components increases, the two models give more divergent results.

PROJECT SCHEDULING OPTIMIZATION IN ELECTRICAL POWER UTILITIES

The problem of choosing from a set of projects which ones should be executed and whenthey should start, depending on several restrictions involving project costs, risks, limited resources, dependencies among projects, and aiming at different, even conflicting, goals is known as the project portfolio selection (PPS) problem. We study a particular version of the PPS problem stemming from the operation of a real power generation company. It includes distinct categories of resources, intricate dependencies between projects, which are especially important for the management of power plants, and the prevention of risks. We present an algorithm based on the GRASP meta-heuristic for finding better results thanmanual solutions produced by specialists. The algorithm yielded solutions that decreased the risk by 47%, as measured by the companys standard methodology.

How to Measure the Correlation between Return of Oil Production Projects Realistically

The use of portfolio theory has been appointed as an important tool for economic risk management in the O&G industry. There are only 3 input parameters: (a) mean return; (b) standard deviation of return; (c) correlation between pairs of assets, projects, prospects, etc. Although simple, one practical problem with the application of this model is the estimation of correlation because there is no historical data as in the case of financial assets. This paper presents a methodology for the estimation of linear and rank correlation between E&P oil and gas projects through the following steps: 1) Estimate the mean and risk of each project; 2) Identify the variables that are common to two projects such as oil price, fiscal regime, etc; 3) Simulate the return of each project; 4) Estimate the correlation between projects. This model is applied to estimate the mean and risk of a portfolio of 3 projects typical from the deep-water in Brazil with reserves of 346, 629 and 694 million barrels. The fiscal model is based on Tax & Royalty. For all these projects, production strategy and production curve come from reservoir simulation. Alternatively, correlation between return of projects is assumed subjectively (a typical number is 70%) but with this model it can be estimated in a much more sound way. Results indicate that main determinants of correlation are fixed cost, variable cost and oil quality. With this information, managers are able to select best portfolios – for example, by means of farm-in and farm-out – in order to create value for stakeholders considering not only means, but also risk and possible benefits from diversification. Introduction In most oil companies, decision-makers have to manage portfolios with large number of projects from areas such as exploration, development, production, decommissioning, etc. The life span of these portfolios is similar to that of the company and may have the magnitude of decades. Usually, company’s portfolio is periodically updated on a yearly basis. In this process, the return to stakeholders depends on: (1) skill of decision-makers to add and remove projects, (2) performance of each individual projects as well as of their synergistic interaction in terms of geologic features, (3) operating infrastructure, (4) marketing conditions, (5) others. In portfolio management, decision-makers usually make decisions based on mean and standard deviation 1 (risk) of the rate of return 2 of investments. The model developed by Markowitz (1959) for the financial world (stocks, bills, bonds, etc) is the 1 In financial markets, the standard deviation is the most common measure of risk. In other areas such as Actuarial Science and Engneering, risk is usually measured using, for example, the probability of occurrence of an unfavorable event. 2 The term rate of return is common in financial markets, but not so in case of capital investments. Here, measures of return

Participação especial: análise de determinantes e impactos econômicos em projetos marítimos de produção de petróleo

A Participacao Especial captura parte da renda extraordinaria de campos petroliferos com grande volume de producao, a exemplo do Pre-sal ou campos maduros da Bacia de Campos. Considerando a complexidade desta participacao governamental, este artigo analisa seus determinantes e impactos em projetos de petroleo em diferentes cenarios: producao isolada com um modulo e lavra com mais modulos. A metodologia inclui elaboracao de fluxos de caixas dos projetos e estimativa do VPL, utilizando simulacoes estocasticas. Os resultados obtidos dos modelos de simulacao indicaram a existencia de ineficiencia/ distorcoes causadas pela Participacao Especial: tanto na sua forma de incidencia (aliquotas), como na sua base de calculo que se manifestam em campos gigantes de petroleo, com diferentes caracteristicas (ate um bilhao de barris - limite utilizado no estudo) e campos nos quais ocorre adicao de reservas, pois o segundo modulo e onerado, podendo comprometer a viabilidade economica deste projeto, conforme nivel de precos praticados.