Socially responsible merchant operations: Comparison of shutdown-averse CVaR and anticipated regret policies
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Author / Producer
Date
2021-07
Publication Type
Journal Article
ETH Bibliography
yes
OPEN ACCESS
Data
Abstract
Commodity and energy production assets are managed as real options on market uncertainties. Social impacts of plant shutdowns incentivize balancing asset value with shutdown probability. We propose new shutdown-averse policies based on the popular dynamic conditional value-at-risk (CVaR). We analytically and numerically compare these policies to known shutdown-averse policies based on anticipated regret (AR). Our findings support the use of AR over CVaR to embed shutdown-aversion and the consideration of hybrid policies that are asymptotically time-consistent but easily interpretable.
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
49 (4)
Pages / Article No.
553 - 558
Publisher
Elsevier
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Commodity operations; Social objectives; Real options; Irreversible decisions; Anticipated regret; Conditional value-at-risk
Organisational unit
02610 - Inst. f. Verkehrspl. u. Transportsyst. / Inst. Transport Planning and Systems
02655 - Netzwerk Stadt u. Landschaft ARCH u BAUG / Network City and Landscape ARCH and BAUG