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Socially Responsible Merchant Operations : Comparison of Shutdown-averse CVaR and Anticipated Regret Policies

Commodity and energy production assets are managed as real options on market uncertainties. Social impacts of plant shutdowns incentivize balancing asset value with shutdown probability. We propose new shutdown-averse policies based on the popular dynamic conditional value-at-risk (CVaR). We analytically and numerically compare these policies to known shutdown-averse policies based on anticipated regret (AR). Our findings support the use of AR over CVaR to embed shutdown-aversion and the consideration of hybrid policies that are asymptotically time-consistent but easily interpretable
Year of publication:
[2021]
Authors: Trivella, Alessio ; Nadarajah, Selvaprabu
Publisher: [S.l.] : SSRN
freely available
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