05. Fakülteler

Permanent URI for this communityhttps://hdl.handle.net/20.500.11779/7

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Citation - WoS: 10
Citation - Scopus: 13
Energy Investment Planning at a Private Company: a Mathematical Programming-Based Model and Its Application in Turkey
(2017) Ağralı, Semra; Canakoglu, Ethem; Arikan, Yildiz; Terzi, Fulya; Adıyeke, Esra
We consider a mid-sized private electricity generating company that plans to enter the market that is partially regulated. There is a cap and trade system in operation in the industry. There are nine possible power plant types that the company considers to invest on through a planning horizon. Some of these plants may include a carbon capture and storage technology. We develop a stochastic mixed-integer linear program for this problem where the objective is to maximize the expected net present value of the profit obtained. We include restrictions on the maximum and minimum possible amount of investment for every type of investment option. We also enforce market share conditions such that the percentage of the total investments of the company over the total installed capacity of the country stay between upper and lower bounds. Moreover, in order to distribute the investment risk, the percentage of each type of power plant investment is restricted by some upper bound. We tested the model for a hypothetical company operating in Turkey. The results show that the model is suitable to be used for determining the investment strategy of the company.
Citation - WoS: 21
Citation - Scopus: 20
Modeling of Carbon Credit Prices Using Regime Switching Approach
(2018) Çanakoğlu, Ethem; Ağralı, Semra; Adıyeke, Esra
In this study, we analyze the price dynamics of carbon certificates that are traded under the European Union's Emissions Trading System (EU-ETS). With the aim of investigating the joint relations among carbon, electricity, and fuel prices, we model historical prices using several methods and incorporating structural changes, such as econometric time series, regime switching, and multivariate vector autoregression models. We compare the results of the structural model with the results of traditional Markov switching and autoregressive models with breaks and present performance analysis based on the mean average percentage error, root mean squared error, and coefficient of determination. According to these performance tests, models with regimes outperform the approaches where breaks are defined using ex ante dummy variables. Moreover, we conclude that among regime switching models, univariate models are better than multivariate counterparts for modeling carbon price series for the analysis of both in-sample and out-of-samples. Published by AIP Publishing.
Citation - WoS: 5
Citation - Scopus: 5
Risk Averse Investment Strategies for a Private Electricity Generating Company in a Carbon Constrained Environment
(Taylor & Francis, 2019) Çanakoğlu, Ethem; Ağralı, Semra; Adıyeke, Esra
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.

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Browsing 05. Fakülteler by Author "Adıyeke, Esra"