An Integrated CVaR and Real Options Approach to Investments in the Energy Sector
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- David McInerney & Robert Lempert & Klaus Keller, 2012. "What are robust strategies in the face of uncertain climate threshold responses?," Climatic Change, Springer, vol. 112(3), pages 547-568, June.
- Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2014. "Decision-support tool for assessing future nuclear reactor generation portfolios," Energy Economics, Elsevier, vol. 44(C), pages 99-112.
- Blyth, William & Bunn, Derek & Chronopoulos, Michail & Munoz, Jose, 2014. "Systematic Analysis of the Evolution of Electricity and Carbon Markets under Deep Decarbonisation," Discussion Papers 2014/39, Norwegian School of Economics, Department of Business and Management Science.
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KeywordsPortfolio optimization; CVaR; climate change policy; uncertainty; real options; electricity; investments;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D92 - Microeconomics - - Micro-Based Behavioral Economics - - - Intertemporal Firm Choice, Investment, Capacity, and Financing
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
- Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth
- Q58 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environmental Economics: Government Policy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-12 (All new papers)
- NEP-CFN-2007-05-12 (Corporate Finance)
- NEP-ENE-2007-05-12 (Energy Economics)
- NEP-ENV-2007-05-12 (Environmental Economics)
- NEP-RMG-2007-05-12 (Risk Management)
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