Resource Allocation Models with Risk Aversion and Probabilistic Dependence: Offshore Oil and Gas Bidding
提出两个新的决策分析模型，用于海上油气租赁竞标，考虑风险厌恶和租赁价值间的概率依赖，以竞标水平和合伙份额为决策变量，并基于实际公司数据验证了模型的有效性。
Bidding for offshore U.S. oil and gas leases is a major corporate resource allocation problem involving enormous uncertainties and very high stakes. This paper presents two new, operationally useful decision analysis models to aid in bidding for oil and gas leases. They are unique in that they consider risk aversion and probabilistic dependence among the values of the leases, with both bid levels and partnership shares as (continuous) decision variables. They are suitable for use in evaluating proposed bidding policies or as objective functions in optimization formulations. Practicality of their data requirements is evidenced by use of one of the models for several years in a major oil company. Comparison of optimal solutions to these models on a small example, using actual oil-company data, demonstrates the importance of taking risk aversion and probabilistic dependence into account, and provides insight into the adequacy of independence and conditional dependence as approximations for dependence. These results are pertinent to other real-world allocation problems that share many of the characteristics of bidding problems, such as R&D funds allocation.