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Merchant Operations of Energy and Commodity Conversion Assets Considering Market Incompleteness

考虑市场不完全性的能源和商品转换资产的商业运作

基本信息

批准号：
1761742
负责人：
Nicola Secomandi
金额：
$ 28.01万
依托单位：
Carnegie-Mellon University
依托单位国家：
美国
项目类别：
Standard Grant
财政年份：
2018
资助国家：
美国
起止时间：
2018-09-01 至 2021-08-31
项目状态：
已结题

来源：
https://www.nsf.gov/awardsearch/showAward?AWD_ID=1761742&HistoricalAwards=false
关键词：
Merchant Operations Energy Commodity Conversion

项目摘要

This award will promote the development of national prosperity and economic welfare by investigating effective operations of critical energy and commodity infrastructure systems. Merchant operations must manage the operational flexibility embedded in physical energy conversion assets, such as power plants, refineries, and storage and transport facilities. These systems form the backbone of energy and commodity physical markets, which in turn form the basis for the functioning of their associated financial markets. Incompleteness of these financial markets reduces the productivity of existing energy and commodity physical assets and hampers investment in new assets. This project explicitly addresses market incompleteness and supports the development of integrated operations and hedging practices to help asset managers achieve improved valuation, operations, and risk management. A better understanding of the impact of reduced energy and commodity market incompleteness on economic efficiency can also inform related policy making. The associated educational plan fosters interest in energy and commodity markets analytics based on curriculum innovation and electronic archives.This research will develop a decision-making framework that directly accounts for market incompleteness when managing on a merchant basis energy and commodity conversion assets modeled as real options. It will have potential applicability for the valuation, exercise, and hedging of both financial and real options that arise in contexts that transcend the energy and commodity industries. This approach contrasts common tactics that assume away market incompleteness when devising operating policies, effectively decoupling their optimization from that of financial hedging policies. It is also distinct from schemes that rely on the calibration of risk propensity parameters. The methodology in this project will extend the realm of applicability of quadratic hedging, integrating it with the optimization of operating policies for energy and commodity infrastructure. It will produce tractable algorithms for the computation of near optimal operating and financial hedging policies relying on and extending state-of-the-art approximate dynamic programming techniques. The performance of these methods will be assessed using available market and operational data.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

该奖项将通过调查关键能源和商品基础设施系统的有效运行来促进国家繁荣和经济福利的发展。商家运营必须管理物理能源转换资产(如发电厂、炼油厂以及存储和运输设施)中嵌入的运营灵活性。这些体系构成了能源和大宗商品实物市场的支柱，而实物市场又构成了相关金融市场运作的基础。这些金融市场的不完备性降低了现有能源和商品实物资产的生产率，阻碍了对新资产的投资。该项目明确地解决了市场的不完备性问题，并支持开发综合业务和对冲实践，以帮助资产管理公司实现更好的估值、运营和风险管理。更好地了解能源减少和商品市场不完善对经济效率的影响也可以为相关政策的制定提供信息。相关的教育计划基于课程创新和电子档案培养了人们对能源和大宗商品市场分析的兴趣。这项研究将开发一个决策框架，当以商人为基础管理以实物期权为模型的能源和大宗商品转换资产时，该框架将直接解释市场的不完整性。它将具有潜在的适用性，用于评估、行使和对冲在能源和大宗商品行业以外的背景下出现的金融和实物期权。这种方法与在设计经营政策时假设市场不完全的常见策略形成对比，有效地将它们的优化与金融对冲政策的优化脱钩。它也不同于依赖风险倾向参数校准的方案。该项目的方法将扩大二次套期保值的适用范围，将其与能源和大宗商品基础设施的运营政策优化相结合。它将产生易于处理的算法，用于计算近乎最优的运营和金融对冲政策，依赖并扩展最先进的近似动态规划技术。这些方法的性能将使用现有的市场和操作数据进行评估。该奖项反映了NSF的法定使命，并通过使用基金会的智力优势和更广泛的影响审查标准进行评估，被认为值得支持。