IDEAS home Printed from https://ideas.repec.org/a/spr/cejnor/v24y2016i2d10.1007_s10100-015-0430-7.html
   My bibliography  Save this article

Mean-risk optimal decision of a steel company under emission control

Author

Listed:
  • František Zapletal

    () (VSB - Technical University of Ostrava)

  • Martin Šmíd

    () (The Institute of Information Theory and Automation of the CAS)

Abstract

Abstract We propose a mean-risk decision model for a steel company facing emission limits and trading with emission allowances. The model is calibrated using data of a real-life steel company and is subsequently solved for five different scenarios of demand and different levels of risk aversion. It is found that while the limits are never reached, permit trading influences the decision to a great extent, especially given extremely low or extremely high demand, i.e., when large amounts of permits need to be traded. We demonstrate that the risk caused by emission trading may increase not only with an increasing demand but also when the demand is low and a great amount of allowances must be sold.

Suggested Citation

  • František Zapletal & Martin Šmíd, 2016. "Mean-risk optimal decision of a steel company under emission control," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(2), pages 435-454, June.
  • Handle: RePEc:spr:cejnor:v:24:y:2016:i:2:d:10.1007_s10100-015-0430-7
    DOI: 10.1007/s10100-015-0430-7
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10100-015-0430-7
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. Zhang, Bin & Xu, Liang, 2013. "Multi-item production planning with carbon cap and trade mechanism," International Journal of Production Economics, Elsevier, vol. 144(1), pages 118-127.
    3. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    4. Letmathe, Peter & Balakrishnan, Nagraj, 2005. "Environmental considerations on the optimal product mix," European Journal of Operational Research, Elsevier, vol. 167(2), pages 398-412, December.
    5. repec:ags:wjagec:32243 is not listed on IDEAS
    6. Haim Levy, 2004. "Prospect Theory and Mean-Variance Analysis," Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 1015-1041.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Petr Fiala & Josef Jablonsky, 2016. "Special issue of the Czech society for operations research," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(2), pages 263-265, June.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:cejnor:v:24:y:2016:i:2:d:10.1007_s10100-015-0430-7. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.