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Citation - WoS: 8
Citation - Scopus: 8
Risk Averse Investment Strategies for a Private Electricity Generating Company in a Carbon Constrained Environment
(Taylor & Francis, 2019-04-12) 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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