Abstract
The mining business is exposed to the risk of price volatility of mineral resources, and also has the business risk of fluctuating mining volumes and costs. Therefore, the mining company controls the risk of the entire mining business by forming a portfolio of multiple mineral resources and mines and leveling profits and cash flows. In this study, we develop a long-term optimization model of a mining dynamic portfolio, analyze the calculation results of specific cases, and show practical applications and suggestions. The conventional theory of long-term portfolio optimization is based on financial engineering, and discusses the portfolio of financial products from an investor's perspective. However, there was no study on the longterm portfolio optimization of mining business in a business company such as trading and investment companies. This study is the newly developed model and verification in the domain.
