Merchant Operations of Energy and Commodity Conversion Assets Considering Market Incompleteness

该奖项将通过研究关键能源和商品基础设施系统的有效运作，促进国家繁荣和经济福利的发展。商业运营必须管理物理能源转换资产（如发电厂、炼油厂、存储和运输设施）中嵌入的操作灵活性。这些系统构成了能源和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全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全性，并支持综合运营和对冲实践的发展，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备对经济效率的影响，也可以为相关的政策制定提供信息。相关的教育计划以课程创新和电子档案为基础，培养对能源和商品市场分析的兴趣。本研究将开发一个决策框架，在以实物期权为模型的商业基础上管理能源和商品转换资产时，直接考虑市场不完全性。它可能适用于能源和大宗商品行业以外的金融和实物期权的估值、行使和对冲。这种方法对比了在设计操作政策时假设市场不完整性的常见策略，有效地将其优化与金融对冲政策的优化分离开来。它也不同于依赖于风险倾向参数校准的方案。本项目中的方法将扩展二次套期保值的适用范围，将其与能源和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，用于计算接近最优的操作和金融对冲政策，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业务数据进行评估。该奖项反映了美国国家科学基金会的法定使命，并通过使用基金会的知识价值和更广泛的影响审查标准进行评估，被认为值得支持。

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.