bibtype	J - Journal Article
ARLID	0484650
utime	20240903170638.8
mtime	20180112235959.9
SCOPUS	85040713548
WOS	000424732300007
DOI	10.14736/kyb-2017-6-1071
title (primary) (eng)	Which carbon derivatives are applicable in practice? A case study of a European steel company
specification	page_count 15 s.
serial	ARLID cav_un_epca*0297163 ISSN 0023-5954 title Kybernetika volume_id 53 volume 6 (2017) page_num 1071-1085 publisher name Ústav teorie informace a automatizace AV ČR, v. v. i.
keyword	carbon allowances
keyword	carbon derivatives
keyword	mean-CVaR
keyword	optimization
author (primary)	ARLID cav_un_auth*0101206 full_dept (cz) Ekonometrie full_dept (eng) Department of Econometrics department (cz) E department (eng) E full_dept Department of Econometrics share 50 name1 Šmíd name2 Martin institution UTIA-B fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
author	ARLID cav_un_auth*0324365 share 25 name1 Zapletal name2 F. country CZ
author	ARLID cav_un_auth*0356763 share 25 name1 Hančlová name2 J. country CZ
source	url http://library.utia.cas.cz/separaty/2017/E/smid-0484650.pdf
cas_special	project ARLID cav_un_auth*0341139 project_id GA16-01298S agency GA ČR abstract (eng) 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. RIV BB FORD0 10000 FORD1 10100 FORD2 10103 reportyear 2018 num_of_auth 2 inst_support RVO:67985556 permalink http://hdl.handle.net/11104/0280147 cooperation ARLID cav_un_auth*0323627 name VSB - Technical University of Ostrava institution VSB-TU Ostrava country CZ confidential S mrcbC86 3+4 Article|Proceedings Paper Computer Science Cybernetics mrcbC86 3+4 Article|Proceedings Paper Computer Science Cybernetics mrcbC86 3+4 Article|Proceedings Paper Computer Science Cybernetics mrcbT16-e COMPUTERSCIENCECYBERNETICS mrcbT16-j 0.224 mrcbT16-s 0.321 mrcbT16-B 18.907 mrcbT16-D Q4 mrcbT16-E Q3 arlyear 2017 mrcbU14 85040713548 SCOPUS mrcbU24 PUBMED mrcbU34 000424732300007 WOS mrcbU63 cav_un_epca*0297163 Kybernetika 0023-5954 Roč. 53 č. 6 2017 1071 1085 Ústav teorie informace a automatizace AV ČR, v. v. i.