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Risk averse investment strategies for a private electricity generating company in a carbon constrained environment

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info:eu-repo/semantics/closedAccess

Date

2019

Author

Adıyeke, Esra
Çanakoğlu, Ethem
Ağralı, Semra

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Citation

Adıyeke, E., Çanakoğlu, E., & Ağralı, S. (April 12, 2019). Risk averse investment strategies for a private electricity generating company in a carbon constrained environment. Journal of the Operational Research Society, 1-13. DOI: 10.1080/01605682.2018.1535265

Abstract

We study a private electricity generating company that plans to enter a partially regulated market that operates under an active cap and trade system. There are different types of thermal and renewable power plants that the company considers to invest in over a predetermined planning horizon. Thermal power plants may include a carbon capture and storage technology in order to comply with the carbon limitations. We develop a time-consistent multi-stage stochastic optimization model for this investment problem, where the objective is to minimize the conditional value at risk (CV@R) of the net present value of the profit obtained through the planning horizon. We implement the model for a hypothetical generating company located in Turkey. The results show that the developed model is appropriate for determining risk averse investment strategies for a company that operates under carbon restricted market conditions.

Source

Journal of the Operational Research Societ

WoS Q Category

Q2 - Q3

URI

https://doi.org/10.1080/01605682.2018.1535265
https://hdl.handle.net/20.500.11779/1062

Collections

  • Endüstri Mühendisliği Bölümü koleksiyonu [53]
  • Scopus İndeksli Yayınlar Koleksiyonu [526]
  • WOS İndeksli Yayınlar Koleksiyonu [532]



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