It is becoming commonplace to consider uncertainty when making exploration and production investment decisions. Exploration and production companies typically have a portfolio of several active and potential projects, each with their own uncertainty. Companies can mitigate against risk by careful selection of their project portfolios. This paper shows how the risk of a project portfolio can be reduced while simultaneously increasing the expected return. This may sound too good to be true. However, it is based on the well- established efficient frontier idea from finance. Such portfolio selection can be accomplished by use of the Solver capability within Microsoft Excel.

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