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Dissertations / Theses on the topic 'Investment under uncertainty'

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Published: 4 June 2021
Last updated: 1 February 2022

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1

Krüger, Niclas. "Infrastructure investment planning under uncertainty /." Örebro : Örebro University, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-6618.

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2

Güçbilmez, Ísmail Ufuk. "Three essays on investment under uncertainty." Thesis, Lancaster University, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618730.

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This thesis contains three essays on investment under uncertainty. The first essay in Chapter 2 provides a theory of debt and equity commitments based on the entrepreneur's investment incentives. In this essay, we compare two fundamental ways of financing investments. The first way is to secure financing in advance (i.e., before the investment) via an investor's debt or equity commitment. The second way is to obtain financing on spot (i.e., at the time of investment). We find that the entrepreneur's choices between debt and equity, and between commitment and spot financing depend on his bargaining power and his ability to extract private benefits. The entrepreneur considers spot financing only when he has full bargaining power. He is indifferent between spot debt and equity. Spot financing is efficient, as the entrepreneur exercises his option to invest at the first-best investment threshold. The entrepreneur strictly prefers commitment financing when he does not have full bargaining power. He prefers equity commitment if he is skilled in extracting private benefits at a small dead weight cost. In this case, he invests too early and causes a reduction in firm value. Otherwise, he prefers debt commitment and invests too late and again causes a reduction in firm value. Our findings help explain the capital structure of firms at different stages in their life cycle. The second essay in Chapter 3 focuses on timing of initial public offerings (IPO) in a hot issue market. We explain why some private firms lead a hot IPO market by going public early, while others follow by delaying their IPOs until late in the same market. In our model, g60d firms go public early. at the expense of issuing underpriced shares, in order to enjoy a first-mover advantage. We find evidence for our arguments in the U.S. IPQ market. Early IPOs of a hot market are underpriced more severely on average, but they experience higher growth in sales, assets, EBITDA, and capital expenditure. Moreover, their shares outperform the market up to nine months after their issues, while those of late IPOs underperform the market from the start. The third and final essay in Chapter 4 deals with optimal venture capital contracting when an entrepreneur and a venture capitalist can both exert value-adding effort that is privately costly for them. We derive the optimal contract when the effort provided by the parties increase the project 's probability of success. The costly effort each party exerts depends on the terms of financial contract the parties sign. We compare three financial contracts: common stock, straight preferred stock, and convertible preferred stock. We find that each of these contracts can be optimal depending on the terms. We show that there are cases in which common stock is infeasible and convertible preferred stock can facilitate financing. We also discuss the inclusion of a clause that prevents the venture capitalist from converting his preferred stock in the case of failure, and argue that this clause can increase efficiency.
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3

Hayes, Mark Gerard. "Investment and finance under fundamental uncertainty." Thesis, University of Sunderland, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.275518.

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4

Gugler, Klaus, Adhurim Haxhimusa, Mario Liebensteiner, and Nora Schindler. "Investment under Uncertainty in Electricity Generation." WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/5177/1/wp234.pdf.

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The recent transformation of European electricity markets with increasing generation from intermittent renewables brings about many challenges. Among them, decaying wholesale prices, partly due to support schemes for renewables, may send insufficient investment signals for other technologies. We investigate the investment decision in a structural equation based on the Tobin's q-model, which we extend by both industry- and firm-technology-specific uncertainty. We utilize rich and novel data at the disaggregated firm generation technology level of European electricity generating firms for the period 2006-2014. Our results show that investment in any generation technology follows market incentives despite sunk and irreversible capital, confirming the implications of the q-model. Moreover, while firm-technology-specific uncertainty decreases firms' investment activity, especially in coal and gas, aggregate uncertainty triggers firms' investment. Our results raise concerns about system reliability in the long run since conventional technologies still serve as a flexible system back-up. (authors' abstract)
Series: Department of Economics Working Paper Series
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5

LEVY, NATALIA CORDEIRO. "INVESTMENT ANALYSIS UNDER UNCERTAINTY: AN ANALYTICAL APPROACH." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2009. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=14911@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
A avaliação de oportunidades de investimentos é sem duvida um tema de grande interesse, pois é o modo pela qual as firmas norteiam suas decisões de investimento ao avaliar que este ou aquele projeto cria ou não valor para esta firma. A teoria de avaliação de investimentos produtivos inicia seu caminho partindo do Valor Presente Líquido (VPL) e vai se ramificando ao longo se sua literatura, percorrendo sempre o objetivo de incorporar a incerteza nos modelos. O estágio atual desta caminhada é a avaliação por opções reais, e tudo que a antecede passou a ser chamado de teoria clássica. Mas muitos problemas enfrentados nas abordagens encontradas na literatura de avaliação de opções reais são antigos. Em função da analogia com as opções financeiras, a metodologia proposta para avaliação das opções reais originaram dos modelos de apreçamento de opções financeiras. Mas esta extensão metodológica é em si problemática, pois os ativos ditos reais e os ativos financeiros guardam entre si importantes diferenças como: risco privado, completude dos mercados, diferenças de liquidez, reversibilidade e uma profunda diferença entre os níveis de assimetria de informação. Estas diferenças comprometem a significância dos resultados finais desta avaliação, pois violam algumas hipóteses que estão por de trás da teoria de apreçamento de opções financeiras, além de não incorporar a parcela de risco privado na avaliação, apenas risco de mercado. Outras abordagens para avaliação de opções reais surgiram para tentar resolver o problema da incompletude dos mercados, mas também retornam a outros problemas já discutidos na teoria clássica como, por exemplo, a dificuldade da escolha da taxa de desconto e a subjetividade da estimativa de um fluxo de caixa equivalente certo. Apesar de ter criado um novo paradigma na concepção de valor dos projetos de investimento, a literatura da teoria de opções reais é ainda divergente quanto aos métodos de avaliação. Este trabalho tem como objetivo discutir as dificuldades práticas de se avaliar/ quantificar as opções de um ativo real que se dá tanto pela inadequação dos métodos de apreçamento próprios para derivativos financeiros, quanto pela subjetividade que se incorre com a utilização de métodos alternativos.
The valuation of investment opportunities is undoubtedly a topic of great interest as it is the manner by which firms guide their investment decisions and assess whether this or that project creates or not value. The valuation theory of productive investments starts its way on the Net Present Value Rule (NPV) and branches along its literature, pursuing always the goal of incorporating the uncertainty into the models. The current stage of this path is the valuation of real options, and so everything that precedes it is now called classical theory. Nevertheless, many problems in the approaches found in literature for assessing real options are old. As the analogy with financial options is common, the proposed methodology for pricing real options bases itself in the financial options models. But this methodological extension is in itself problematic, as the so-called real assets and financial assets retain important differences between themselves such as private risk, completeness of markets, differences in liquidity, reversibility and a dramatic difference in the levels of information asymmetry. These differences undermine the significance of the valuation’s final results, as they violate some of the assumptions behind the pricing theory of financial options. As well as that, only the market component of risk is considered in the assessment, leaving private risk unattended. Other approaches for pricing real options have emerged in order to tackle the problem of market incompleteness, but are not able to prevent other issues already discussed in the classical theory, such as the difficulty in choosing the discount rate and the subjectivity of the certainty equivalent cash flow estimation. Despite having created a new standard in the understanding of what does the value of an investment project represent, real options literature is still uneasy with regards to valuation methods. The aim of this dissertation is to discuss the practical difficulties in the valuation/ quantification of the options present in a real asset. These are given both by the inadequacy in the methods that were designed specifically for financial derivatives, and by the subjectivity that is incurred when one makes use of alternative methods.
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6

Tian, Yuan. "Corporate Investment and Capital Structure under Uncertainty." Kyoto University, 2010. http://hdl.handle.net/2433/120733.

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7

Levendorskii, Sergei Z., and Svetlana I. Boyarchenko. "Investment under uncertainty when shocks are non-gaussian." Universität Potsdam, 1998. http://opus.kobv.de/ubp/volltexte/2008/2520/.

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8

Zavodov, Kirill Valerievich. "Essays on investment under uncertainty and asymmetric information." Thesis, University of Cambridge, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.608149.

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9

Meier, Helga. "Project evaluation and capital budgeting under uncertainty." Thesis, Imperial College London, 1995. http://hdl.handle.net/10044/1/7785.

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10

Bilkic, Natasa [Verfasser]. "Essays on investment decisions under large uncertainty / Natasa Bilkic." Paderborn : Universitätsbibliothek, 2014. http://d-nb.info/1057913855/34.

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11

Arkhipov, Ivan, and Marina Boltenko. "Investment Under Uncertainty : Risk Assessment in Emerging Market Countries." Thesis, Jönköping University, JIBS, Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-8029.

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The overall purpose of the paper is to see how crediting institutions assess risks in emerging market countries. The paper describes prevalent economic and social conditions for each of the selected emerging market countries (Brazil, China, Kazakhstan, India, Russia and Ukraine) as examples of recent attractive investment locations in quest of higher returns.  Second, recognizing the importance of ratings for risk management in credit institutions, the authors show what determines country ratings made by main rating agencies by running a linear regression on several macroeconomic indicators and the country ratings. It is also explained what the most widely-used ratings mean and described the correlation between the ratings as well as between the macroeconomic indicators and the ratings. The authors also describe the characteristic approach of a Scandinavian bank towards dealing with risk factors in emerging market countries. Concluding comments: risks happen to be inbound in the bank interest rates; there is no common pattern for banks to apply to all the emerging market countries and each market should be analyzed separately. Nordic banks have a relatively safe and careful strategy concerning lending in the emerging markets.

 

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12

Adkins, Roger. "Multi-Factor Analytical Models of Re-Investment Under Uncertainty." Thesis, University of Manchester, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.516440.

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In this thesis, we formulate a quasi-analytical solution method for determining the timing boundary for multi-factor real option models, and apply it to economic problems of re-investment having a fixed re-investment cost. In the absence of an eligible dimension reducing transformation, numerical solution methods are normally used to evaluate the timing boundary, but analytical methods are elegant and less onerous. We develop a quasi-analytical method for determining the timing boundary for models whose factors are described by geometric or arithmetic Brownian motion processes, which, because it is expressed as a solution to a set of simultaneous equations, is implicit. Fixed cost re-investment problems, with two or more factors, are a particularly appropriate vehicle for demonstrating the appeal of the quasi-analytical method, because of the complete absence of a dimension reducing transformation. We find that the standard finding for one-factor models on the viability condition for investing in an opportunity is extendable to the multi-factor models by showing that the net incremental value rendered by the re-investment has to significantly exceed the net re-investment cost for it to be economically justified. Although the various models are founded on an infinite re-investment chain, we observe only finite chains for many industrial and commercial assets, so a recurring theme of our studies is abandonment and the inclusion of a suitable mechanism in the formulation for terminating the infinite process. Three distinct classes of re-investment are considered. In Chapter 3, we study the two-factor renewal model, with deteriorating stochastic revenue and operating cost. We find that the correlation between the two factors exerts considerable control over the shape of the timing boundary, which shows that focusing exclusively on one-factor models and ignoring additional factors can produce misleading results. Further, the timing boundary is more greatly influenced by the revenue reversionary level than by the .operating cost reversionary level and the re-investment cost. We also consider the magnitude of the reversionary revenue required to terminate the chain. In Chapter 4, we study a replacement model with stochastic escalating cost and tax allowances due to the depreciation charge, based on declining balance, straight line and sum of year's digits schedules. Replacement depends on asset age, with younger assets being replaced at lower operating cost thresholds. Further, asset age is critical in deciding the preferred depreciation lifetime, tax rate and depreciation schedule. In Chapter 5, we study the impact of salvage value on replacement. The presence of this additional factor not only . lowers the operating cost threshold, but also permits the abandonment decision to be modelled. In Chapter 6, we study a two-factor model for renovating a property, with building quality deteriorating stochastically and a market-based rental price, which expresses both renovation and abandonment opportunities. We show that the three decisions of continuance, renovation and abandonment comprise an exhaustive decision space. 12
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13

Niemann, Rainer, and Caren Sureth-Sloane. "Investment Effects of Wealth Taxes under Uncertainty and Irreversibility." WU Vienna University of Economics and Business, Universität Wien, 2015. http://epub.wu.ac.at/4684/1/SSRN%2Did2685104.pdf.

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The growing dissatisfaction with perceived distributional inequality and budgetary constraints gave rise to a discussion on the (re-)introduction of wealth taxes. Wealth taxes are typically levied on private wealth, in some countries also on corporate wealth. To avoid misleading statements concerning possible distributional consequences of wealth taxes, preceding analyses of the economic and particularly investment effects are necessary. As investments drive job creation, tax-induced changes in investment timing may significantly affect the income and wealth distribution. We analyze the impact of wealth taxes on investment timing under uncertainty and irreversibility and the propensity to carry out risky projects. Using a Dixit/Pindyck type real options model we find that wealth taxes have real effects. This means that higher wealth tax rates can either stimulate or depress the propensity to invest in risky projects. We find that apparently paradoxical wealth tax effects (accelerated investment due to higher wealth tax rates) are more likely for low interest rates and for high-risk investments. Using either historical cost or fair value accounting may affect investment timing ambiguously. Thus, the design of wealth taxes is crucial for the resulting delay or acceleration of investment. Although our model takes an individual perspective, our findings are also relevant for the current tax policy discussion on the introduction of wealth taxes. Our results indicate that wealth taxes are particularly harmful for specific classes of investments, for example low-risk investments. (authors' abstract)
Series: WU International Taxation Research Paper Series
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14

Lund, Simon Corvinius. "Real optioner og investering under usikkerhed = Real Options and Investment under Uncertainty /." Aarhus : Institut for Økonomi, Aarhus Universitet, 2008. http://mit.econ.au.dk/Library/Specialer/2008/20020768.pdf.

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15

Chen, Jia Jin. "Investment strategy for redevelopment projects under uncertainty : real options approach." Thesis, University of Macau, 2006. http://umaclib3.umac.mo/record=b1637046.

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16

Azevedo, Alcino Fernando Silva. "Investment decisions under uncertainty and competition : A real option approach." Thesis, University of Manchester, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.500479.

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17

Atenas, Maldonado Felipe Eduardo. "A two-stage model for planning energy investment under uncertainty." Tesis, Universidad de Chile, 2019. http://repositorio.uchile.cl/handle/2250/170925.

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Tesis para optar al grado de Magíster en Ciencias de la Ingeniería, Mención Matemáticas Aplicadas
Memoria para optar al título de Ingeniero Civil Matemático
We consider risk-averse stochastic programming models for the Generation Expansion Planning problem for energy systems with here-and-now investment decisions and generation variables of recourse. The resulting problem is coupled both along scenarios and along power plants. We develop a new decomposition technique to solve the energy optimization problem, resulting from the combination of two existing procedures, one to deal with stochastic programming problems through decomposition for different realizations of the stochastic process representing the uncertain data, and the second one is a method aim to find solutions to nonsmooth optimization problems. More precisely, we combine the Progressive Hedging algorithm to deal with scenario separability, obtaining a separate subproblem for each scenario, and an inexact proximal bundle method to handle separability for different power plants in each subproblem. By suitably combining these approaches, if the evaluation errors of the proximal bundle method vanish asymptotically, then bundle method converges to an approximate solution to each scenario subproblem. Thus, under mild convexity assumptions, the Progressive Hedging algorithm generates a sequence that converges to a solution to the original problem. The methodology is satisfactorily assessed on a test instance of the Generation Expansion Planning problem, whose reduced size allows us to compare the results with those obtained when solving the problem directly, and without decomposition.
CONICYT-PFCHA/Magister Nacional/2018-22181067 y CMM Conicyt PIA AFB170001
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18

Suwandechochai, Rawee. "Capacity Investment, Flexibility, and Product Substitution/Complementarity under Demand Uncertainty." Diss., Virginia Tech, 2005. http://hdl.handle.net/10919/25944.

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We provide a comprehensive characterization of the relationship between optimal capacity and the degree of product substitution/complementarity under price/production postponement, considering different business practices (holdback versus clearance, negative price policies) and different demand models. Specifically, we consider a firm that produces two products, which can be substitutable or complementary. The demand of each product is a linear function of the prices of both products (with the relationship depending on the substitution/complementarity structure), and is subject to an additive stochastic shock. We consider two types of linear demand functions that are commonly used in the economics and operations management literature. The firm operates in a monopolistic setting and acts as a price-setter for both products. Overall the firm needs to make three sets of decisions: capacity, production quantities, and prices. While the capacity investment decision has to be made ex-ante observation of demand curves, price and/or quantity decisions can be postponed until after demand curves are observed. We consider two postponement strategies: price and quantity postponement, and price postponement only. We characterize the optimal pricing/production/investment decisions for each postponement strategy. Using these characterizations, we show that product substitution/complementarity is a key demand characteristic, which has a large impact on the optimal capacity. Our results show that how the optimal capacity behaves in substitution/complementarity parameter is quite similar under both postponement strategies, and under holdback and clearance. However, this behavior depends highly on other underlying assumptions (i.e., whether or not negative prices are allowed) and on the demand model used.
Ph. D.
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19

Spiegel, Alisa [Verfasser]. "Investment and land-use decision under consideration of uncertainty / Alisa Spiegel." Bonn : Universitäts- und Landesbibliothek Bonn, 2018. http://d-nb.info/1170872263/34.

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20

Maioli, Sara. "Investment under uncertainty, market structure and price-cost margins : empirical analysis." Thesis, University of Strathclyde, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.426356.

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21

BRUNO, SERGIO VITOR DE BARROS. "STRATEGIC RISK MANAGEMENT: A FRAMEWORK FOR RENEWABLE GENERATION INVESTMENT UNDER UNCERTAINTY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2016. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=27453@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE EXCELENCIA ACADEMICA
O investimento em fontes renováveis, apesar do crescimento recente, ainda é dificultado devido à volatilidade dos mercados de curto prazo. Contratos forward são essenciais mesmo em mercados de balcão como o Ambiente de Contratação Livre (ACL) Brasileiro. Contatos forward permitem a redução da incerteza sobre a receita, ajudam a garantir a adequação do fornecimento graças à sinalização de preços para a expansão e podem também ser obrigatórios para realização do project finance de novos empreendimentos. Apesar da oferta de contratos, as fontes renováveis ainda possuem o risco adicional em sua geração, o que pode, combinando-se altos preços spot em um momento de baixa geração, ocasionar uma exposição ao risco de preço-quantidade. Investimento em fontes renováveis pode ser incentivado através da aplicação de técnicas de gestão de riscos como contratação forward, diversificação e definição do momento ótimo de investimento. Através da negociação de contratos e aproveitando complementariedades sazonais entre as fontes, é possível minimizar a exposição aos riscos do mercado. O problema de investimento em centrais de energia renovável pode ser visto como um modelo de otimização estocástica multiestágio com variáveis inteiras, de difícil resolução. As principais soluções disponíveis na literatura simplificam o problema ao reduzir a dimensionalidade da árvore de cenários, ou assumindo hipóteses simplificadoras sobre os processos estocásticos. Nosso objetivo é apresentar um framework para valoração de investimentos em energia renovável, considerando as principais fontes de incerteza e alternativas para composição de uma carteira de investimentos. A principal contribuição desse trabalho é uma metodologia para resolver, utilizando técnicas de decomposição, o problema de investimento ótimo em centrais renováveis complementares no mercado elétrico brasileiro. Este é um problema estocástico multiestágio e não convexo. Nossas políticas de investimento são geradas através de um algoritmo baseado em Programação Dinâmica Dual Estocástica (SDDP). Restrições de integralidade são consideradas no passo forward, onde as políticas são avaliadas, e relaxados no passo backward, onde as políticas são geradas, para garantir a convexidade das funções de recurso. Os resultados numéricos mostram que não é possível assumir independência entre estágios dos processos estocásticos de preços. A estrutura Markoviana dos processos estocásticos é preservada usando uma discretização do espaço de probabilidade, que é resolvida utilizando uma conhecida extensão do SDDP. A avaliação da performance é feita utilizando os dados originais, validando nossa heurística. Nosso framework requer um modelo para o preço forward de energia. Nós aplicamos o modelo Schwartz-Smith usando dados do mercado spot e de balcão para construir a curva forward do mercado brasileiro. O framework contempla as particularidades do ACL no mercado brasileiro, mas também pode ser utilizado em mercados similares. Utilizando medidas coerentes de risco, incorporamos aversão a risco e avaliamos as estratégias concorrentes utilizando conceitos modernos de gestão de riscos.
Despite recent trend for investment in renewable energy, high volatility in shortterm markets still may hinder some opportunities. Forwarding contracting is essential even in Over The Counter (OTC) markets such as the Brazilian Free Trading Environment. Forward contracts allow reducing revenue uncertainty, help ensure supply adequacy by signaling generation expansion and may also be required for project financing in new ventures. Still, renewable sources face the additional risk of uncertain generation, which, in low periods, combined with high spot prices, pose the hazardous price-quantity risk. Renewable investment may be fostered by applying risk management techniques such as forward contracting, diversification and optimal investment timing. By trading contracts and exploiting the seasonal complementarity of the renewable sources, it is possible to reduce risk exposure. The problem of investment in renewable energy plants may be seen as a multistage stochastic optimization model with integer variables, which is very hard to solve. The main approaches in the current literature simplify the problem by reducing the dimensionality of the scenario tree or by assuming simplifying hypothesis on the stochastic processes. Our objective is to introduce a renewable investment valuation framework, considering the main uncertainty sources and portfolio investment alternatives. The main contribution of this work is a method to solve, by applying decomposition techniques, the problem of optimal investment in seasonal complementary renewable plants in the Brazilian energy market. This is a multistage stochastic and non-convex problem. Our investment policies are devised using an algorithm based on Stochastic Dual Dynamic Programming (SDDP). Integrality constraints are considered in the forward step, where policies are evaluated, and relaxed in the backward step, where policies are built, to ensure convexity of the recourse functions. Numerical results show that it is not possible to assume stagewise independence of the price processes. We maintain the Markovian property of the stochastic processes by a discretization of the probability space, solvable by a known extension to the SDDP method. Performance evaluation is carried out using the original data, validating our heuristic. A forward energy price model is required in our framework. We apply the Schwartz-Smith model with spot and OTC data of the Brazilian market to build such a forward price curve. The framework is able to represent the characteristics of the Brazilian FTE and may be applied to similar markets. We incorporate risk aversion with coherent measures of risk and evaluate alternative strategies based on modern risk management concepts.
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22

Bertola, Giuseppe. "Adjustment costs and dynamic factor demands : investment and employment under uncertainty." Thesis, Massachusetts Institute of Technology, 1988. http://hdl.handle.net/1721.1/14362.

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23

Orr, Robert W. "Irreversible capacity investment under uncertainty, an application to Alberta's electrical generation industry." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ31303.pdf.

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24

Chiang, Derek Mi-Hsiu. "Contingent claims analysis to irreversible, non-tradable output investment problems under uncertainty." Thesis, Imperial College London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312138.

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25

Heggheim, Hanne Eline, and Ingvild Mogensen. "Wind Power Investment under Uncertainty and Simultaneous Electricity and Green Certificate Equilibrium." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for industriell økonomi og teknologiledelse, 2014. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-25902.

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This paper introduces the combination of an equilibrium model for electricity- and certificate supply and demand of and real options valuation theory for evaluating the effectiveness of support schemes applied in the electricity market. We study how a green certificate scheme affects investment behavior for a potential wind farm. The investor is assumed to take into account the micro-structural properties of supply and demand through explicitly considering a simultaneous equilibrium in the green certificate market and the electricity market. The source of uncertainty in the model lies in the investment cost, which is described as a mean reverting process. At any time the investor possesses an option to develop the wind farm or postpone the decision. Regarding future revenues as deterministic and the investment cost as a one-time expense at exercise, we derive a real options-based rule for the optimal investment timing. Using the Swedish/Norwegian green certificate market as foundation for calibration and focusing on support scheme efficiency, the resulting renewable power development rates are compared to the case where there are no subsidies, as well as the case of a feed-in tariff system. We highlight policy insights from investment aspects that interact with the simultaneous equilibrium in the electricity and green certificate markets. We conclude that for the specific goal of boosting investment in production capacity for renewable energy, and within the framework constructed by the assumptions made in this model, the feed-in tariff will perform better than the green certificate scheme.
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26

Chiyangwa, Diana Kudakwashe. "Strategic investment in power generation under uncertainty : Electric Reliability Council of Texas." Thesis, Massachusetts Institute of Technology, 2010. http://hdl.handle.net/1721.1/59673.

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Thesis (S.M. in Technology and Policy)--Massachusetts Institute of Technology, Engineering Systems Division, Technology and Policy Program, 2010.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 79-81).
The purpose of this study is to develop a strategy for investment in power generation technologies in the future given the uncertainties in climate policy and fuel prices. First, such studies are commonly conducted using deterministic methods which assume a given likelihood of the carbon and gas price levels. In this study a probabilistic approach is used to address these uncertainties. Secondly, capacity expansion models conventionally apply average estimates to predict the amount of power that each generator will produce based on the technology chosen. I propose an alternate method which determines the actual generation hour-by-hour of a generator. Using this method, I also capture the variability of wind generation across the year. To accomplish this goal, I used the Electric Reliability Council of Texas (ERCOT) as a case study. I investigated the effect of different scenarios of generation technology investments projected over a period of twenty years. I conducted two sets of analysis; first assuming that Carbon Capture and Storage (CCS) technologies will be available after 2020, then assuming that they will not. Using a dispatch model, I simulated the hours of a load duration curve for 2020 and 2030. In the first period 2010-2020, I assumed the price of carbon to either be $0 or $50/ton CO2. In the second period, I take the carbon price to be at either a low of $25/ton of CO2 or a high of $100/ton of CO2 . The price of natural gas used was either a high of $15/MMBtu or a low of $3/MMBtu in both periods. Using a Monte Carlo, I sample the wind generation based on the season and the time of day. The system costs with the new investment scenarios were then evaluated in a decision tree to establish the socially optimal solution. I find that the optimal strategy to be taken today depends on the availability of CCS technologies in 2030. Assuming that there is CCS in 2030, the more dominant strategy would be to build natural gas generators today. If we assume that there is no CCS in 2030, the strategy would depend on the probabilities of the levels of gas and carbon prices in 2020.
by Diana Kudakwashe Chiyangwa.
S.M.in Technology and Policy
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Wang, Qiong. "Optimal Investment Strategies for Flexible Resources, Considering Pricing and Correlated Demands." Thesis, Virginia Tech, 2002. http://hdl.handle.net/10919/46183.

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We study the resource investment decision faced by a firm that offers two demand-classes (i.e., products, services), while incorporating the firm's pricing decision into the investment decision. For this purpose, we consider a monopolistic situation and model the demand curve of each demand-class as a downward sloping linear function of its own price. The firm can invest in dedicated resources, which can only satisfy a specific demand-class, and/or in a more expensive, flexible resource, which can satisfy both demand-classes. We consider a two-stage stochastic decision model: In the first stage, the firm determines the dedicated and flexible resource capacities to invest in under demand uncertainty. In the second stage, demand curves are realized and the firm optimizes its revenue through pricing and resource allocation decisions, constrained by its capacity investment decision in the first stage. Our analysis provides the structure of the firm's optimal resource investment strategy as a function of price elasticities and investment costs, and shows how the value of resource flexibility depends on these parameters and demand correlations. Based on our analysis, we provide principles on the firm's optimal resource investment strategy under uncertainty. We show that it can be optimal for the firm to invest in the flexible resource when demand patterns are perfectly positively correlated, while it is not always optimal to invest in the flexible resource when demand patterns are perfectly negatively correlated.
Master of Science
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Loomis, Benjamin A. (Benjamin Alan) 1971. "The value of flexible design : real estate investment and development strategy under uncertainty." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/29773.

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Thesis (S.M. in Architectural Studies; and, S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Architecture, 2003.
Includes bibliographical references (p. 133-137).
Utilizing recent research into building life cycle analysis and option valuation theory, this thesis develops an architectural methodology for analyzing buildings' "capacity for change," and economic models for valuing this capacity. Together these can be used to evaluate strategies for the design, investment, and development of new and existing buildings. Two hypothetical case studies illustrate the methods and models, and produce results which challenge conventional wisdom. One case study suggests that including a redevelopment option can increase the valuation of moderately performing assets by up to 25% over conventional discounted cash flow analysis, even when redevelopment is not economically feasible in the near term. The other case study fInds that when zoning allows, the design and construction of a building which can flexibly switch between multiple uses can be economically viable, even when substantial additional costs are incurred.
by Benjamin A. Loomis.
S.M.in Architectural Studies; and, S.M.in Real Estate Development
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Kallblad, Sigrid Linnea. "Topics in portfolio choice : qualitative properties, time consistency and investment under model uncertainty." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:3593bc59-594e-4feb-a20a-c18b75c9b8bc.

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The study of expected utility maximization in continuous-time stochastic market models dates back to the seminal work of Merton 1969 and has since been central to the area of Mathematical Finance. The associated stochastic optimization problems have been extensively studied. The problem formulation relies on two strong underlying assumptions: the ability to specify the underpinning market model and the knowledge of the investor's risk preferences. However, neither of these inputs is easily available, if at all. Resulting issues have attracted continuous attention and prompted very active and diverse lines of research. This thesis seeks to contribute towards this literature and questions related to both of the above issues are studied. Specifically, we study the implications of certain qualitative properties of the utility function; we introduce, and study various aspects of, the notion of robust forward investment criteria; and we study the investment problem associated with risk- and ambiguity-averse preference criteria defined in terms of quasiconcave utility functionals.
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Que, Ting Ting. "Essays in empirical corporate finance: asset sales and takeovers, CEO compensation, and investment under uncertainty." Diss., University of Iowa, 2014. https://ir.uiowa.edu/etd/1384.

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This thesis consists of three essays and studies CEO compensation, asset sales and takeovers and investment under uncertainty in empirical corporate finance. The first essay is a joint work with Qianqian Huang, Feng Jiang and Erik lie, titled `The effect of labor unions on CEO compensation'. The second essay `. Union Concessions following Asset Sales and Takeovers' is a joint work with Erik Lie. The third essay is titled `The Effect of Systematic and Idiosyncratic Risk on Investment and R&D' and is sole-authored. In the first essay, we document evidence that labor unions compel firms to curtail CEO compensation. First, we find that firms with strong unions pay their CEOs less. Further, firms curb CEO compensation, especially the part that is discretionary, prior to union contract negotiations. Finally, we report that curbing CEO compensation mitigates the chance of a labor strike, thus providing a rationale for firms to pay CEOs less when facing strong unions. In the second essay, we document that the likelihood of asset sales increases with union wages. Furthermore, the acquiring firms gain significant concessions from the incumbent union following asset sales. Finally, the anticipation of union concessions helps explain the excess stock returns around asset sale announcements. We find no comparable effects for takeovers. We conclude that asset sales, but not takeovers, are partially motivated by the potential to extract concessions from unions. Finally, in the third essay, in an attempt to shed some light on the puzzling positive sensitivity of investment to systematic volatility documented in Panousi and Papanikolaou (2012), we decompose systematic volatility into a firm's systematic risk exposure (beta) as well as the market and industry portfolio volatility. Surprisingly, we find a positive response of investment to a firm's systematic risk exposure. R&D expenditure is employed as an alternative form of investment. Our results show that idiosyncratic risk actually encourages firms to engage in R&D spending, in contrast with its depressing effect on capital expenditure; whereas systematic volatility depresses R&D in contrast with the positive sensitivity of capital expenditure to systematic volatility.
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Seo, Sangtaek. "Effects of federal risk management programs on investment, production, and contract design under uncertainty." Texas A&M University, 2004. http://hdl.handle.net/1969.1/3117.

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Agricultural producers face uncertain agricultural production and market conditions. Much of the uncertainty faced by agricultural producers cannot be controlled by the producer, but can be managed. Several risk management programs are available in the U.S. to help manage uncertainties in agricultural production, marketing, and finance. This study focuses on the farm level economic implications of the federal risk management programs. In particular, the effects of the federal risk management programs on investment, production, and contract design are investigated. The dissertation is comprised of three essays. The unifying theme of these essays is the economic analysis of crop insurance programs. The first essay examines the effects of revenue insurance on the entry and exit thresholds of table grape producers using a real option approach. The results show that revenue insurance decreases the entry and exit thresholds compared with no revenue insurance, thus increasing the investment and current farming operation. If the policy goal is to induce more farmers in grape farming, the insurance policy with a high coverage level and high subsidy rate is effective. In the second essay, a mathematical programming model is used to examine the effects of federal risk management programs on optimal nitrogen fertilizer use and land allocation simultaneously. Current insurance programs and the Marketing Loan Program increase the optimal fertilizer rate 2% and increase the optimal cotton acreage 119-130% in a Texas cotton-sorghum system. Assuming nitrogen is harmful to the environment and cotton requires higher nitrogen use, these risk management programs counteract federal environmental programs. The third essay uses a principal-agent model to examine the optimal contract design that induces the best effort from the farmer when crop insurance is purchased. With the introduction of crop insurance, the investor’s optimal equity financing contract requires that the farmer bear more risk in order to have the incentive to work hard, which is achieved by increasing variable compensation and decreasing fixed compensation.
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Chevalier-Roignant, Benoît [Verfasser], Arnd [Gutachter] Huchzermeier, and Lenos [Gutachter] Trigeorgis. "Investment under market and strategic uncertainty / Benoît Chevalier-Roignant. Gutachter: Arnd Huchzermeier ; Lenos Trigeorgis." Vallendar : WHU - Otto Beisheim School of Management, 2016. http://d-nb.info/1113537418/34.

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Collins, Michael Alan Strategy &amp Entrepreneurship Australian School of Business UNSW. "Flexibility in investment decisions under uncertainty: do managers behave according to real options theory?" Publisher:University of New South Wales. Strategy & Entrepreneurship, 2009. http://handle.unsw.edu.au/1959.4/43547.

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Despite the plethora of theoretical papers on real options, comparatively few papers test the predictions of real option theory empirically, and almost none directly examine decision making that applies real options theory. In contributing to the understanding of real options thinking, this research addresses the direct question of whether or not managers behave according to real options theory under controlled experimental conditions. An additional contribution of this research is in the use of discrete choice experimentation as an instrument for studying real options decision-making. Whether managers would value two-stage capital investment decisions??as predicted by real options theory??was tested, as was the extent to which their preferences aligned with theory. Managers?? responses corresponded, in part, with real options theory: investment values generally increased with lower option premiums and with higher payoffs. However, responses deviated significantly from real options theory when assessing the effect of uncertainty: respondents tended to incorrectly allocate lower values to investment alternatives with higher uncertainty. Responses also deviated significantly when assessing the effect of time to expiry: respondents tended to incorrectly allocate lower values to investment alternatives with longer times to expiry. This aspect is fundamental to real options theory and thus the findings of this research do not support real options thinking as being the best approximation of behaviour.
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34

Chronopoulos, M. "Investment decision making under uncertainty : the impact of risk aversion, operational flexibility, and competition." Thesis, University College London (University of London), 2011. http://discovery.ucl.ac.uk/1324523/.

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Traditional real options analysis addresses investment under uncertainty assuming a risk-neutral decision maker and complete markets. In reality, however, decision makers are often risk averse and markets are incomplete. Additionally, capital projects are seldom now-or-never investments and can be abandoned, suspended, and resumed at any time. In this thesis, we develop a utility-based framework in order to examine the impact of operational flexibility, via suspension and resumption options, on optimal investment policies and option values. Assuming a risk-averse decision maker with perpetual options to suspend and resume a project costlessly, we confirm that risk aversion lowers the probability of investment and demonstrate how this effect can be mitigated by incorporating operational flexibility. Also, we illustrate how increased risk aversion may facilitate the abandonment of a project while delaying its temporary suspension prior to permanent resumption. Besides timing, a firm may have the freedom to scale the investment’s installed capacity. We extend the traditional real options approach to investment under uncertainty with discretion over capacity by allowing for a constant relative risk aversion utility function and operational flexibility in the form of suspension and resumption options. We find that, with the option to delay investment, increased risk aversion facilitates investment and decreases the required investment threshold price by reducing the amount of installed capacity. We explore strategic aspects of decision making under uncertainty by examining how duopolistic competition affects the entry decisions of risk-averse investors. Depending on the discrepancy between the market share of the leader and the follower, greater uncertainty may increase or decrease the discrepancy in the non-pre-emptive leader’s relative value. Furthermore, risk aversion does not affect the loss in the value of the leader for the pre-emptive duopoly setting, but it makes the loss in value relatively less for the leader in a non-preemptive duopoly setting.
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Nguyen, Tho Dinh. "Real options and investment under uncertainty : a study using firm-level data for Thailand." Thesis, SOAS, University of London, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.415038.

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36

Santen, Nidhi. "Technology investment decisions under uncertainty : a new modeling framework for the electric power sector." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/92656.

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Thesis: Ph. D., Massachusetts Institute of Technology, Engineering Systems Division, February 2013.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 303-315).
Effectively balancing existing technology adoption and new technology development is critical for successfully managing carbon dioxide (CO2) emissions from the fossil-dominated electric power generation sector. The long infrastructure lifetimes of power plant investments mean that deployment decisions made today will influence carbon dioxide emissions long into the future. New technology development and R&D decisions can help reduce the overall costs of reducing emissions, but there are multiple technology investments to choose from, and returns to R&D are inherently uncertain. These features of the technology "deployment versus development" question create unique challenges for decision makers charged with managing cumulative carbon dioxide emissions from the electricity sector. Unfortunately, current quantitative decision support tools ultimately lack one or more of three overarching features jointly necessary to provide useful insights about an optimal balance between R&D program and power plant investments. They lack (1) resolution of the critical structure of the electricity sector, (2) an explicit endogenous representation of the effects of learning-by-searching technological change, and/or (3) an efficient decision-analytic framework to explore multiple technology investment options under uncertainty in the returns to R&D. This dissertation presents a new quantitative decision support framework that allows for the study of socially optimal R&D and capital investment decisions for the power generation sector. Through a novel integration of classical electricity generation investment planning methods, economic modeling of endogenous R&D-driven technological change, and emerging numerical stochastic optimization techniques, the new framework (1) explicitly accounts for the complementary roles that generating technologies play within the electric power system, (2) considers the characteristics of the uncertainty in the technology innovation process, and (3) identifies flexible, adaptive R&D investment strategies for multiple technologies for decision makers to consider. A series of numerical experiments with the new model reveal that (1) the optimal near-term R&D investment strategy under technological change uncertainty and adapting between decisions can be different than the optimal strategy assuming perfect foresight, and may be higher or lower; (2) the timing that a technology should be deployed to meet a specific carbon target dictates the direction and magnitude of the difference in these decisions; (3) increasing the level of uncertainty tends to increase near-term R&D investments; and (4) increasing right-skewness of the uncertainty (i.e., decreasing the likelihood of higher than average returns), reduces R&D spending throughout the planning horizon.
by Nidhi Rana Santen.
Ph. D.
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37

Numminen, Emil. "Software Investments under Uncertainty : Modeling Intangible Consequences as a Stochastic Process." Licentiate thesis, Karlskrona : School of Management, Blekinge Institute of Technology, 2008. http://www.bth.se/fou/Forskinfo.nsf/allfirst2/c4fc1a96b53c2937c125746500360fec?OpenDocument.

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38

Trautmann, Thomas. "Environmental investment decisions under regulatory uncertainty : an analysis of corporate responses to regulatory uncertainty in the European Emission Trading scheme /." Zürich : ETH, 2007. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=17291.

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39

Ahmed, Anas A. "Optimal Capacity Investment, and Pricing Across International Markets Under Exchange Rate Uncertainty and Duopoly Competition." Scholarly Repository, 2010. http://scholarlyrepository.miami.edu/oa_dissertations/400.

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In this dissertation we investigate joint optimal capacity investment, pricing and production decisions for a multinational manufacturer who faces exchange rate uncertainties. We consider a manufacturer that sells its product in both domestic and foreign markets over a multiperiod season. Because of long-lead times, the capacity investment must be committed before the selling season begins. The exchange rate between the two countries fluctuates across period and the demand in both markets is price dependent. In the first part, the model considers three scenarios: (1) early commitment to price and quantity with central sourcing, (2) postponement of prices and quantities with central sourcing, and (3) local sourcing. We derive the optimal capacity and the optimal prices for each scenario, and investigate the impact of the exchange rate parameters and the length of the selling season on optimal capacity investment, production allocation, and pricing decisions. We observe that while the price and production decisions in the domestic market are independent of the exchange rate under early commitment and local sourcing scenarios, the exchange rate between two countries directly impacts these decisions under the postponement setting. We identify thresholds and gain insights on investment costs, market potentials, exchange rate drifts, and selling season length for the choice of entering a foreign market under all scenarios. In the second part of this dissertation, we consider a duopoly competition in the foreign country. We consider a single period setting and we model the exchange rate as a random variable. We assume two scenarios: (1) Exogenous Model, where the price of the foreign manufacturer is set a priori, and (2) Endogenous Model, where the prices are set simultaneously based on a Nash Game outcome. In the Exogenous Model, we study the impact of exchange rate and foreign manufacturer's price on optimal capacity and prices. In the Endogenous Model, we investigate the impact of competition and exchange rate on optimal capacities and optimal prices. We show how competition can impact the decision of the home manufacturer to enter the foreign market.
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40

Soerjono, Indriyanto Asclepias Rachmi. "Investment under uncertainty : application of binomial option analysis to development of geothermal energy in Indonesia." Thesis, University of Hawaii at Manoa, 2002. http://hdl.handle.net/10125/3040.

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Indonesia has identified a large amount of geothermal resource potential throughout the islands. However, geothermal utilization is presently low. One of the main reasons is due to limited government funds to develop the resources. Another contributing factor is the high prices charged by private geothermal electricity producers, which was part of the reason why the government suspended most private geothermal development projects. The common perception blames corruption, collusion and nepotistic behavior of the market participants for this unfortunate situation. This research shows that even if opportunistic behavior is cast away, the present business arrangement corresponds to an incentive system that brings about high geothermal electricity prices. Applying the Real Option Theory reveals that managerial flexibility in the decision-making process of a geothermal project is valuable, since it allows the use of updated information. In contrast to the present ex-ante price determination setting, a possible way to incorporate flexibility is to agree on output price after exploration activities are concluded. Under certain conditions, this ex-post price determination setting may produce a wider range of feasible prices that includes those lower than the ex-ante price. As such, incorporating flexibility into the decision process improves project value and may lower its output price. The research model implicitly assumes the first-best world with respect to the assumptions of symmetric information and a simple self-interest behavior. These two assumptions set the limitation of the model results. In a complex world with incomplete and asymmetric information as well as opportunistic behavior of the market participants, the ex-post price determination is likely to fail due to reciprocal concerns of the parties. A two-phased negotiation system may attenuate the opportunism concerns, while provides assurance that only viable projects can survive.
Thesis (Ph. D.)--University of Hawaii at Manoa, 2002.
Includes bibliographical references (leaves 227-235).
Mode of access: World Wide Web.
Also available by subscription via World Wide Web
xii, 235 leaves, bound ill. 29 cm
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Károly, Andrea. "Investment strategies under uncertainty : Theory and evidence of preemption in case of geographical market entrance." kostenfrei, 2007. http://www.opus-bayern.de/uni-passau/volltexte/2008/1200/.

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42

Geiger, Ansgar [Verfasser], and S. [Akademischer Betreuer] Nickel. "Strategic power plant investment planning under fuel and carbon price uncertainty / Ansgar Geiger ; Betreuer: S. Nickel." Karlsruhe : KIT Scientific Publishing, 2011. http://d-nb.info/1184496730/34.

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ABREU, WAGNER SABOIA DE. "MODELLING AND FORECASTING OF ELECTRICITY SPOT PRICES AND APPLICATIONS WITHIN THE CONTEXT OF INVESTMENT UNDER UNCERTAINTY." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2012. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=20520@1.

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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO
O Setor Elétrico Brasileiro (SEB) passou por uma grande reestruturação, saindo de uma situação de monopólio estatal para uma de desestatização regulamentada. Neste processo, a interação entre os agentes, causada pelas privatizações ocorridas no setor, passou a condicionar a formação dos preços do mercado de energia elétrica e, consequentemente, dos contratos dela derivados. O presente trabalho coloca a eletricidade no contexto das outras commodities e debate suas características específicas; apresenta o Setor Elétrico Brasileiro (SEB) e o Mercado Brasileiro de Energia Elétrica e discute a Formação dos Preços no Mercado de Curto Prazo Brasileiro. Foram usados dados históricos para a estimação dos parâmetros de um modelo que capta as principais características dos preços spot de energia elétrica e, lançando mão do Método de Monte Carlo (MMC) para a simulação desses preços, foi analisada a flexibilidade de compra e venda parcial de um contrato de energia elétrica, usando a Teoria de Opções Reais (TOR). Concluiu-se que essa flexibilidade agrega valor aos contratos de energia.
The Brazilian Electric Power Industry (SEB) has undergone a major restructuring moving from a situation of state monopoly to a regulated privatization. In this process, interaction among agents took place in the industry, influencing electricity spot prices and consequently power derivative contracts. This work: places electric power in the context of other commodities and discusses its specific characteristics; presents the Brazilian Power Companies and the Brazilian Electricity Market and discusses the formation of short-term prices in Brazil. We used historical data to carry out the parameters estimation of a model that captures the main characteristics of electricity spot prices and we analyzed a flexibility of partial buying or selling of one energy contract using the Real Options Approach (ROA), employing Monte Carlo Method (MCM) to simulate these prices. We concluded that this flexibility adds value to power contracts.
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Miranda, de Loureiro Manuel Valentim. "Transmission and Interconnection Planning in Power Systems: Contributions to Investment Under Uncertainty and Cross-Border Cost Allocation." Research Showcase @ CMU, 2017. http://repository.cmu.edu/dissertations/1105.

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Electricity transmission network investments are playing a key role in the integration process of power systems in the European Union. Given the magnitude of investment costs, their irreversibility, and their impact in the overall development of a region, accounting for the role of uncertainties as well as the involvement of multiple parties in the decision process allows for improved and more robust investment decisions. Even though the creation of this internal energy market requires attention to flexibility and strategic decision-making, existing literature and practitioners have not given proper attention to these topics. Using portfolios of real options, we present two stochastic mixed integer linear programming models for transmission network expansion planning. We study the importance of explicitly addressing uncertainties, the option to postpone decisions and other sources of flexibility in the design of transmission networks. In a case study based on the Azores archipelago we show how renewables penetration can increase by introducing contingency planning into the decision process considering generation capacity uncertainty. We also present a two-party Nash-Coase bargaining transmission capacity investment model. We illustrate optimal fair share cost allocation policies with a case study based on the Iberian market. Lastly, we develop a new model that considers both interconnection expansion planning under uncertainty and cross-border cost allocation based on portfolios of real options and Nash-Coase bargaining. The model is illustrated using Iberian transmission and market data.
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Schachter, Jonathan. "A real options approach to valuing flexibility in demand-side response operations and investments under uncertainty." Thesis, University of Manchester, 2016. https://www.research.manchester.ac.uk/portal/en/theses/a-real-options-approach-to-valuing-flexibility-in-demandside-response-operations-and-investments-under-uncertainty(ecde4f40-5e42-4223-b347-fc05ea3ce4f4).html.

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This thesis investigates methodologies for valuing the flexibility of demand-side response (DSR) in its ability to respond to future uncertainties. The ability to quantify this flexibility is especially important for energy systems investments given their large and irreversible capital costs. The consideration of uncertainty in electricity markets and energy networks requires solutions that allow decision makers to quickly respond to unexpected events, such as extreme short-term electricity price variations in an operational setting, or incorrect long-term demand projections in planning. This uncertainty, coupled with the irreversibility of energy network investments, results in the need for viable 'wait-and-see' investment strategies that can help hedge electicity price risk in the short-term while hedging planning risk in the long-term, until at least some, if not all, uncertainty is resolved. In both cases, this leads to an added value in the case of temporary flexible investment options like DSR, which may otherwise be considered unattractive under a deterministic analysis setting. A number of significant contributions to power systems research are offered in this work, focusing on valuation methods for quantifying the flexibility value of DSR under both short-term and long-term uncertainty. The first outcome of this research is an extensive review of current real options (RO) methods that clarifies the assumptions and utilization of RO for decision-making in engineering applications. It suggests that many of the assumptions used contribute to a misuse of the models when applied to physical systems. A framework for investing under uncertainty is proposed, where the methodologies, steps, inputs, assumptions, limitations and advantages of different RO models are described so as to offer a practical guide to decision makers for selecting the most appropriate RO model for their valuation purposes. The second outcome is the design of a probabilistic RO framework and operational model for DSR that quantifies its benefits as an energy service for hedging different market price risks. A mathematical formulation for applying “real options thinking” is presented that provides decision makers with a means of quantifying the value of DSR when both operational and planning decisions are subject to uncertainty. In particular, DSR contracts can have tremendous value as an arbitrage or portfolio-balancing tool, helping hedge almost entirely electricity price risk in day-ahead and real-time markets, especially when prices are highly volatile. This value is quantified using a novel RO framework that frees the decision maker from the assumptions needed in financial option models. A new load forecasting and price simulation model is also developed to forecast load profiles and simulate new price series with different average values, higher volatilities and extreme price spikes to represent potential future market scenarios and to determine under which conditions DSR has the most value. The valuation of a DSR investment is then presented to show how the physical characteristics of a system, in this case the physical load recovery effect of loads after a DSR activation, can tremendously affect the profitability of an investment when uncertainty is taken into account. The third outcome of this work is the development of a complete, general and practical tool for making long-term multi-staged investment decisions in future power networks under multiple uncertainties. It is argued throughout this work that many of the current methods are either unsuitable for long-term investment valuation or are too complex for practical application and implementation at the industry level. A strategic spreadsheet-based tool for making long-term investment decisions under uncertainty is therefore created and tested in collaboration with industry for solving real network planning problems.
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46

Keller, Joachim. "Essays on innovation and investment decisions under imperfect competition." Doctoral thesis, Universite Libre de Bruxelles, 2013. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209548.

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Innovation incentives are imperfectly provided in market settings: When deciding on their innovation activity, firms tend to focus on the maximization of their private benefits, poorly internalizing social benefits. This thesis analyzes how policy intervention could be designed in order to align private and social incentives.

In the three papers of this thesis, I will consider three environments where firms' choices in a laissez-faire situation may be socially inefficient. The inefficiencies arise because of learning externalities, free riding when the innovation decision is made by a group of participants, or because firms are not willing to invest in a new activity that has a higher social than private value.

In the first thesis paper, I deal with the strategies of firms in innovative consumer product markets characterized by demand uncertainty. I analyze the timing and location decision of firms in that context.

In the second thesis paper, I consider the investment incentives of financial market infrastructures (FMIs). FMIs comprise the set of institutions that allow financial market participants to engage with each other. I assess the innovation incentives for different forms of ownership (user-owned versus third-party owned) and identify infrastructure service provision equilibria.

In the third thesis paper, I address the question of how a government should allocate a subsidy budget over time in order to maximize the innovation activity in an industry.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

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Schüller, David [Verfasser], Tobias [Akademischer Betreuer] Seidel, and Till [Akademischer Betreuer] Requate. "Essays on Technology Transfer, Energy Investment under Uncertainty, and Pro-Social Behavior. / David Schüller. Gutachter: Till Requate. Betreuer: Tobias Seidel." Duisburg, 2014. http://d-nb.info/1059350769/34.

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Maribu, Karl Magnus. "Modeling the Economics and Market Adoption of Distributed Power Generation." Doctoral thesis, Norwegian University of Science and Technology, Faculty of Natural Sciences and Technology, 2006. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-755.

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After decades of power generating units increasing in size, there is currently a growing focus on distributed generation, power generation close to energy loads. Investments in large-scale units have been driven by economy of scale, but recent technological improvements on small generating plants have made it possible to exploit the benefits of local power generation to a larger extent than previously. Distributed generation can improve power system efficiency because heat can be recovered from thermal units to supply heat and thermally activated cooling, and because small-scale renewables have a promising end-user market. Further benefits of distributed generation include improved reliability, deferral of often controversial and costly grid investments and reduction of grid losses. The new appeal of small-scale power generation means that there is a need for new tools to analyze distributed generation, both from a system perspective and from the perspective of potential developers. In this thesis, the focus is on the value of power generation for end-users. The thesis identifies how an end-user can find optimal distributed generation systems and investment strategies under a variety of economic and regulatory scenarios. The final part of the thesis extends the analysis with a bottom-up model of how the economics of distributed generation for a representative set of building types can transfer to technology diffusion in a market.

Four separate research papers make up the thesis. In the first paper, Optimal Investment Strategies in Decentralized Renewable Power Generation under Uncertainty, a method for evaluation of investments in renewable power units under price uncertainty is presented. It is assumed the developer has a building with an electricity load and a renewable power resource. The case study compares a set of wind power systems with different capacity and finds that capacity depends on the electricity price and that there under uncertain prices can be a significant value in postponing investment until larger projects are profitable. In the second paper, Combined Heat and Power in Commercial Buildings: Investment and Risk Analysis, a Monte Carlo simulation program to find the value and risk characteristics of combined heat and power units is presented. Using historical price data to estimate price process parameters, it is shown that uncertain prices should not be a barrier for investment, since on-site generators can adapt to uncertain prices and reduce the total energy cost risks. In, Optimizing Distributed Generation Systems for Commercial Buildings, which uses a mixed integer linear program, distributed generation portfolios that maximize profitability are tailored to a building's energy load. Distributed generation with heat recovery and thermally activated cooling are found profitable in an office and a health care building, using current generator data and energy tariffs from California. With the fourth paper, Distributed Energy Resources Market Diffusion Model, the analysis is taken a step further to predict distributed generation market diffusion. Market penetration is assumed to depend on economic attractiveness and knowledge and trust in the technologies. A case study based on the U.S. commercial sector depicts a large market for reciprocating engines and microturbines, with the West and Northeast regions driving market diffusion. Technology research and outreach programs can speed up and change the path of capacity expansion.

The thesis presents three different models for analyzing investments in distributed generation, all of which have benefits and disadvantages. Choice of model depends on the specific application, but the different approaches can be used on the same problem to analyze it from different viewpoints. The cases in the thesis indicate that distributed generation can reduce expected energy costs while at the same time improve cost predictability. Further, the thesis identifies several important factors and potential barriers to distributed generation adoption. Analyzing distributed generation from the end-user perspective is important also for policy makers, because of the importance of estimating how the market will react to potential policy measures. The thesis shows that small-scale generating capacity has the potential to increase in the near future. Further research should increase the understanding of economic and environmental issues related to distributed generation, while policy makers should aim to construct and implement measures that make it attractive for end-users to invest in efficient local generating capacity.

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49

Azevedo, Carlos Renato Belo 1984. "Anticipation in multiple criteria decision-making under uncertainty = Antecipação na tomada de decisão com múltiplos critérios sob incerteza." [s.n.], 2012. http://repositorio.unicamp.br/jspui/handle/REPOSIP/260775.

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Orientador: Fernando José Von Zuben
Tese (doutorado) - Universidade Estadual de Campinas, Faculdade de Engenharia Elétrica e de Computação
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Resumo: A presença de incerteza em resultados futuros pode levar a indecisões em processos de escolha, especialmente ao elicitar as importâncias relativas de múltiplos critérios de decisão e de desempenhos de curto vs. longo prazo. Algumas decisões, no entanto, devem ser tomadas sob informação incompleta, o que pode resultar em ações precipitadas com consequências imprevisíveis. Quando uma solução deve ser selecionada sob vários pontos de vista conflitantes para operar em ambientes ruidosos e variantes no tempo, implementar alternativas provisórias flexíveis pode ser fundamental para contornar a falta de informação completa, mantendo opções futuras em aberto. A engenharia antecipatória pode então ser considerada como a estratégia de conceber soluções flexíveis as quais permitem aos tomadores de decisão responder de forma robusta a cenários imprevisíveis. Essa estratégia pode, assim, mitigar os riscos de, sem intenção, se comprometer fortemente a alternativas incertas, ao mesmo tempo em que aumenta a adaptabilidade às mudanças futuras. Nesta tese, os papéis da antecipação e da flexibilidade na automação de processos de tomada de decisão sequencial com múltiplos critérios sob incerteza é investigado. O dilema de atribuir importâncias relativas aos critérios de decisão e a recompensas imediatas sob informação incompleta é então tratado pela antecipação autônoma de decisões flexíveis capazes de preservar ao máximo a diversidade de escolhas futuras. Uma metodologia de aprendizagem antecipatória on-line é então proposta para melhorar a variedade e qualidade dos conjuntos futuros de soluções de trade-off. Esse objetivo é alcançado por meio da previsão de conjuntos de máximo hipervolume esperado, para a qual as capacidades de antecipação de metaheurísticas multi-objetivo são incrementadas com rastreamento bayesiano em ambos os espaços de busca e dos objetivos. A metodologia foi aplicada para a obtenção de decisões de investimento, as quais levaram a melhoras significativas do hipervolume futuro de conjuntos de carteiras financeiras de trade-off avaliadas com dados de ações fora da amostra de treino, quando comparada a uma estratégia míope. Além disso, a tomada de decisões flexíveis para o rebalanceamento de carteiras foi confirmada como uma estratégia significativamente melhor do que a de escolher aleatoriamente uma decisão de investimento a partir da fronteira estocástica eficiente evoluída, em todos os mercados artificiais e reais testados. Finalmente, os resultados sugerem que a antecipação de opções flexíveis levou a composições de carteiras que se mostraram significativamente correlacionadas com as melhorias observadas no hipervolume futuro esperado, avaliado com dados fora das amostras de treino
Abstract: The presence of uncertainty in future outcomes can lead to indecision in choice processes, especially when eliciting the relative importances of multiple decision criteria and of long-term vs. near-term performance. Some decisions, however, must be taken under incomplete information, what may result in precipitated actions with unforeseen consequences. When a solution must be selected under multiple conflicting views for operating in time-varying and noisy environments, implementing flexible provisional alternatives can be critical to circumvent the lack of complete information by keeping future options open. Anticipatory engineering can be then regarded as the strategy of designing flexible solutions that enable decision makers to respond robustly to unpredictable scenarios. This strategy can thus mitigate the risks of strong unintended commitments to uncertain alternatives, while increasing adaptability to future changes. In this thesis, the roles of anticipation and of flexibility on automating sequential multiple criteria decision-making processes under uncertainty are investigated. The dilemma of assigning relative importances to decision criteria and to immediate rewards under incomplete information is then handled by autonomously anticipating flexible decisions predicted to maximally preserve diversity of future choices. An online anticipatory learning methodology is then proposed for improving the range and quality of future trade-off solution sets. This goal is achieved by predicting maximal expected hypervolume sets, for which the anticipation capabilities of multi-objective metaheuristics are augmented with Bayesian tracking in both the objective and search spaces. The methodology has been applied for obtaining investment decisions that are shown to significantly improve the future hypervolume of trade-off financial portfolios for out-of-sample stock data, when compared to a myopic strategy. Moreover, implementing flexible portfolio rebalancing decisions was confirmed as a significantly better strategy than to randomly choosing an investment decision from the evolved stochastic efficient frontier in all tested artificial and real-world markets. Finally, the results suggest that anticipating flexible choices has lead to portfolio compositions that are significantly correlated with the observed improvements in out-of-sample future expected hypervolume
Doutorado
Engenharia de Computação
Doutor em Engenharia Elétrica
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50

Haehl, Christian A. H. [Verfasser], Stefan [Gutachter] Spinler, and Arnd [Gutachter] Huchzermeier. "Investment and charter under market and regulatory uncertainty : real options-based studies in international container shipping / Christian A. H. Haehl ; Gutachter: Stefan Spinler, Arnd Huchzermeier." Vallendar : WHU - Otto Beisheim School of Management, 2019. http://d-nb.info/1200916832/34.

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