0484650 20240903170638.820180112235959.9 85040713548 000424732300007 10.14736/kyb-2017-6-1071 15 s. cav_un_epca*02971630023-5954536 (2017)1071-1085Ústav teorie informace a automatizace AV ČR, v. v. i. carbon allowances carbon derivatives mean-CVaR optimization cav_un_auth*0101206 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Šmíd Martin UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0324365 25 Zapletal F. CZ cav_un_auth*0356763 25 Hančlová J. CZ http://library.utia.cas.cz/separaty/2017/E/smid-0484650.pdf cav_un_auth*0341139 GA16-01298S GA ČR This paper constructs and analyses a model for optimal production and emission covering of a real-life European steel company. The emissions may be covered by a combination of EUA and CER allowances and their derivatives. The company is assumed to be risk-averse, maximizing the Mean-CVaR criterion. The problem is analysed given continuum of risk-aversion coefficients and three scenarios of the demand. It is found that the production does not depend on the risk aversion and is always maximal, but the optimal composition of the (spot) allowances and their derivatives depends non-trivially on both the risk aversion and the demand. Out of all the derivatives, only futures are used. Surprisingly, options are never used. BB 10000 10100 10103 2018 2 RVO:67985556 http://hdl.handle.net/11104/0280147 cav_un_auth*0323627 VSB - Technical University of Ostrava VSB-TU Ostrava CZ S 3+4 Article|Proceedings Paper Computer Science Cybernetics 3+4 Article|Proceedings Paper Computer Science Cybernetics 3+4 Article|Proceedings Paper Computer Science Cybernetics COMPUTERSCIENCE.CYBERNETICS 0.596 0.048 12.4 0.00096 0.224 808 0.321 0.513 63 Q4 18.907 11.4 Q4 Q3 0.2 Q4 11.364 2017 85040713548 SCOPUS PUBMED 000424732300007 WOS cav_un_epca*0297163 Kybernetika 0023-5954 Roč. 53 č. 6 2017 1071 1085 Ústav teorie informace a automatizace AV ČR, v. v. i.