Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.11779/1062
Title: | Risk Averse Investment Strategies for a Private Electricity Generating Company in a Carbon Constrained Environment |
Authors: | Çanakoğlu, Ethem Ağralı, Semra Adıyeke, Esra |
Keywords: | Conditional value at risk Risk averse investments Mixed-integer program Energy investment problems |
Publisher: | Taylor & Francis |
Source: | 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. |
URI: | https://hdl.handle.net/20.500.11779/1062 https://doi.org/10.1080/01605682.2018.1535265 |
ISSN: | 0160-5682 1476-9360 |
Appears in Collections: | Endüstri Mühendisliği Bölümü Koleksiyonu Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
Files in This Item:
File | Description | Size | Format | |
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Risk averse investment strategies for a private electricity generating company in a carbon constrained environment.pdf Until 2089-02-11 | Yayıncı Sürümü - Makale | 1.43 MB | Adobe PDF | View/Open |
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