The portfolio selection process for projects involving the exploration and production of oil is a complex task, passing through different steps until and optimum solution is achieved, revealing the best portfolio. This paper presents a methodology for portfolio selection considering semi-standard deviation as a measure of risk. The methodology is applied to a set of six oil production projects located in the Campos Basin, where the risk minimization is subject to a certain return. Genetic algorithms are used as the optimization tool.. The portfolio selection was performed by maximization of the certainty equivalent, for different values of risk aversion coefficients. The results show that the semi-standard deviation presents better sensitivity in portfolio selection with projects that have a large magnitude of risk and return.623305313Campbell, J.M., Campbell, J.M., Campbell, J.A., (2001) Analyzing and Managing Risky Investments, p. 485. , Oklahoma: John CampbellCampbell, J.Y., Lo, A.W., MacKinlay, A.C., (1997) The econometrics of financial markets, p. 611. , New Jersey: Princeton University PressCosta Lima, G.A.C., Schiozer, R.F., Suslick, S.B., The efficient frontier of oil projects portfólio as a tool for decision-making (2006) Rio Oil & Gas 2006: Expo and Conference, 2006, , In:, Rio de Janeiro. Anais do Rio Oil & Gas Expo and ConferenceCosta Lima, G.A.C., Suslick, S.B., Pereira, J.Q., Portfolio optimization of oil production projects using mathematical programming and utility theory 18th International Congress of Mechanical Engineering, 2005, p. 11. , In, Ouro PretoCozzolino, J.M., Controlling risk in capital budgeting: A practical use of utility theory for measurement and control of petroleum exploration risk (1980) The Engineering Economist, 25 (3), pp. 161-186Galeno, R.C., (2008) Seleção de portfólios de projetos de exploração e produção de petróleo utilizando um modelo exponencial de aversão ao risco, p. 115. , Faculdade de Engenharia Mecânica, Universidade Estadual de Campinas, (Dissertação de Mestrado)Holloway, C.A., (1979) Decision Making Under Uncertainty: Models and Choices, p. 522. , New Jersey: Prentice-HallKritzman, M.P., (2003) The portable financial analyst: what practitioners need to know, p. 260. , New Jersey: WileyLuenberger, D.G., (1998) Investment science, p. 494. , Oxford: Oxford PressMarkowitz, H.M., (1959) Portfolio selection: efficient diversification of investments, p. 343. , New York: John Willey & SonsMarkowitz, H.M., Portfolio selection (1952) Journal of Finance, 7 (1), pp. 77-91Nepomuceno, F., Suslick, S.B., Alocação de recursos financeiros em projetos de risco na exploração de petróleo (2000) Revista de Administração de Empresas (RAE - FGV), 40 (1), pp. 63-76http://www.petrobras.com.br, PETROBRAS. Relações com o investidor. Disponível em, Acessado em 20/09/2008Siddiqui, M., Al-Yateem, K., Al-Thawadi, A., A new tool to evaluate the feasibility of petroleum exploration projects using a combination of deterministic and probabilistic methods SPE Middle East Oil & Gas Show and Conference, 2007, , In, Bahrain. (Paper SPE, 105694)Suslick, S.B., Schiozer, D.J., Risk analysis applied to petroleum exploration and production: An overview (2004) Journal of Petroleum Science and Engineering, 44 (2), pp. 1-9von Neumann, J., Morgenstern, O., (1953) The theory of games and economic behavior, p. 648. , Princeton: Princeton University PressWalls, M.R., Combining decision analysis and portfolio management to improve project selection in the exploration and production firm (2004) Journal of Petroleum Science and Engineering, 44 (7), pp. 55-65Walls, M.R., Corporate risk tolerance and capital allocation: A practical approach to implementing an exploration risk policy (1995) Journal of Petroleum Technology, 47 (4), pp. 307-311Walls, M.R., Dyer, J.S., Risk propensity and firm performance: A study of the petroleum exploration industry (1996) Management Science, 42 (7), pp. 1004-1021