Abstract: Based on expected utility theory, the concept of corporate risk tolerance is introduced into Markowitz portfolio management model for investment decision-making. Based on the model, multiple attribute analysis technique is used for the integrated decision making of financial, technical, environmental, geological, and other factors. The proposed method is applied to a company in the petroleum industry. With the data collected from that company, it demonstrates the effectiveness of the proposed method. By taking the corporate risk tolerance and the effect of each attribute into consideration, the proposed method establishes the linkage between decision analysis and portfolio management such that the overall petroleum investment decision-making process is improved, leading to a better corporate performance.

Key words: decision theory, risk tolerance, portfolio management, multiple attribute decision-making