Toward a contract portfolio management model for a gas producing firm

AbstractThis paper addresses the question of determining an optimal mix of gas contracts for a producer supplying the North American gas market. We first propose a model inspired from the classical portfolio management models in Finance. We illustrate its use on a set of realistic data representative of the global situation facing a Canadian producer. We then explore the possibility to link such a contract portfolio management system with the NARG (North American Regional Gas) model. We conclude that a decision support system could be developed, which would use data obtained from scenarios produced e.g. through the use of the NARG model.The paper examines the scope of the gas contract portfolio management problem, the market segmentation and the modeling aspects. A numerical illustration shows the kind of trade-offs between increased returns and decreased risks which are typical of the current situation on the North American gas market.This work provides the methodological background for a decision suppor...