Název: Decision of a Steel Company Trading with Emissions
Autoři: Zapletal, F. ; Šmíd, Martin
Typ dokumentu: Příspěvky z konference
Konference/Akce: MME 2016. International Conference Mathematical Methods in Economics /34./, Liberec (CZ), 2016-09-06 / 2016-09-09
Rok: 2016
Jazyk: eng
Abstrakt: We formulate a Mean-CVaR decision problem of a production company obliged to cover its CO2 emissions by allowances. Certain amount of the allowances is given to the company for free, the missing/redundant ones have to be bought/sold on a market. To manage their risk, the company can use derivatives on emissions allowances (in particular futures and options), in addition to spot values of allowances. We solve the decision problem for the case of an real-life Czech steel company for different levels of risk aversion and different scenarios of the demand. We show that the necessity of emissions trading generally, and the risk caused by the trading in particular, can influence the production significantly even when the risk is decreased by means of derivatives. The results of the study show that even for low levels of the risk aversion, futures on allowances are optimal to use in order to reduce the risk caused by the emissions trading.
Klíčová slova: allowances; CVaR; emission trading; EU ETS; optimization
Číslo projektu: GA16-01298S (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: Proceedings of the 34th International Conference Mathematical Methods in Economics MME 2016, ISBN 978-80-7494-296-9

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2016/E/smid-0469137.pdf
Původní záznam: http://hdl.handle.net/11104/0269418

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-263452


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference