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- W2336755158 abstract "Abstract Both the Kelly Criterion and risk aversion using utility theory are methods that attempt to mitigate the risk of gambler's ruin through capital management by suggesting working interest levels for each project. Utility theory uses an assigned risk tolerance and a natural log utility function to calculate the optimum working interest for a project. The modified Kelly method does not use a utility function but rather a geometric mean-based valuation derived from the ratio of the expected value to the net present value. This ratio, called the Kelly Criterion, is a guide for capital allocation to a project as the percent of the total capital available. When the total recommended cost of all the projects exceeds the budget, the combined portfolio is optimized by further adjusting the working interest using a linear programming technique, such as Excel’s ™ Solver. This optimization process was described by MacKay (1995) at a previous HEES Symposium (SPE 30043). The objective of this paper is to compare the procedure described by MacKay (1995) to a similar procedure using the modified Kelly method. The Kelly Criterion is currently used for financial investment decisions (Lee, 2006) and described in the book Fortune’s Formula by Poundstone (2005)." @default.
- W2336755158 created "2016-06-24" @default.
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- W2336755158 date "2016-05-10" @default.
- W2336755158 modified "2023-09-26" @default.
- W2336755158 title "Comparing the Results of an Exploration Portfolio Optimized Using Utility Theory Versus the Kelly Criterion" @default.
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- W2336755158 doi "https://doi.org/10.2118/179972-ms" @default.
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