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The work investigates the properties of the solutions derived from the minimum yield principle in problems of constructing optimal in continuous VaR-criterion (CC-VaR) portfolio for an investor with own partial market forecast and own risk preferences function. Fundamental theoretical results are adduced and illustrated by examples of two-sided exponential, equiprobability, and beta distributions...
The article considers the stages of constructing the Bayesian network of trust for modeling complex natural processes with the unpredictability effect, as well as its structure, training and simulation results.
This article provides an overview of modern methods and approaches to scientific and technological solutions' efficiency assessment. Much attention is paid to the problems of the criteria set formulation and the identification of their optimal structure for solving the stated problem. In the paper, based on practical results, the analysis of the effectiveness of scientific and technical solutions,...
The liberalization of power markets has led to a paradigm shift in the scope of the generation and transmission expansion planning. The assessment of this issue is complex because of the uncertainties that usually determine the long-term evolution of the market. Moreover, and from the point of view of regulators and policy makers, an optimal assessment is of great interest because the lack of coordination...
With the diversified development of electrical loads, and the large-scale integration of volatile renewable generations, power system operation, control and planning face the challenge of increasing injection uncertainties. In this paper, a new method for reference network considering nodal injection uncertainties is proposed. The actual operation mode optimization and reserve configuration of power...
The procedure of the aggregation of experts' individual probability estimates for solving probability inference problems in probability trees are proposed. The suggested methodology allows to consider specific forms of uncertainty arising from the process of interaction between the expert judgments. The structure of such interactions may be different in nature — they can be consistent, compatible,...
Land acquisition is one of the most important activities in construction, particularly in toll road development. Many toll road projects in Indonesia have not been completed and many investors have become bankrupt because of unresolved land acquisition issues. The problem of land acquisition in Indonesia is due to uncertainty and very complex issues. In fact, land prices can be 10 times until 20 times...
Co-optimization refers to the simultaneous optimization of two or more different, yet related, resources within one optimization formulation. This paper presents a comprehensive state-of-the-art literature survey on the application of co-optimization to power system engineering. It summarizes literature characterizing co-optimization applications to electricity markets, investment planning and other...
Generally, investment decision is an evaluation of the proposed alternatives for the investor using a set of indicators. Evident, that to the start of the investment, the project should be finished and valid, however, search of investment resources and other difficulties can delay significantly start of the investment stage, which would increase risks. Therefore, it is important in addition to evaluating...
Objectives. The article proposes a modification of the method for quantitative risk assessment (the Monte Carlo simulation method) by taking into account the multifactorial relationship between the key parameters and the risk factors of the investment project, which makes it possible to obtain a more relevant and efficient sample of simulations. Methods. Investigations described in the article are...
The objective of this work is to investigate wind uncertainty within a long term generation and transmission expansion planning framework. Specifically, this work investigates uncertainty associated with wind power within a 2 stage stochastic program and quantifies its importance with the well known quantities “Value of Stochastic Solution” VSS and “Expected Value of Perfect Information” EVPI. Simulations...
The idea of investment diversification has existed for a long time, as “do not put all eggs in the same basket.” as what we often say. Traditional investment management focuses on the combination of multiple securities, but it puts more emphasis on individual security, as the simple assembly of individual management. Investment combination theory regards combination as one entity, and pays attention...
Despite the fact that one of the main goals of corporate venture capital (CVC) investments in high-tech industries is to gain a window on future technologies, the relationship between CVC investments and strategies used to acquire technologies in the markets, such as licensing, has not been adequately explored. To address this gap, we build on the real option literature suggesting that CVC investments...
Due to significant economies of scale, the capital-intensive involved and government regulations that still don't rule a perfect competition environment, the power generation industry is usually organized as a market with oligopolistic competition. In this type of market structure, participating agents implement different strategies or games to exercise market power in order to increase their profits...
The electricity system moves step-by-step towards a system built on the use of intermittent renewable energy sources (RES). The implications raise a variety of questions. We provide deeper insights into the impact of uncertain wind power generation on wholesale electricity prices. In particular, we analyse long-term equilibrium prices and their volatility. We develop and apply a stochastic electricity...
Renewable energies are expected to be the main electricity generation source. However, the variability of renewable energy supply poses challenges to the generation expansion modelling as uncertainty of hourly generation need to be adequately taken into account. This paper analyzes the implications of different approaches to optimization under uncertainty, ranging from stochastic to robust optimization...
In the course of ambitious climate targets, the European electrical power system is subject to an upcoming shift from fossil-fueled to renewable power generation. As a consequence, it remains vague which expansions involve the least-cost transformation path while satisfying security of supply as well as providing sufficient flexibility to handle an increasing share of intermittent feed-in. Hence,...
Investment models for decision making on unconventional hydrocarbon resource development in Europe must be based on realistic estimates of well productivity, gas price projections and reliable data concerning the costs of the project. In this analysis we assess the economic feasibility of three different investments projects in coal bed methane production located in three European regions: Cheshire...
Due to the rising share of renewable energy sources, reinforcements in the transmission grid have become necessary. As the approval of grid investments is time consuming, investments are planned about ten years in advance. Possible developments of the future energy system are usually covered by a set of scenarios. Currently in Germany an optimal grid development plan is determined for each scenario...
The liberalization of electricity markets has significantly changed the perspective of the power generation business. Nowadays, generation companies pursue economic goals due their investment decisions are based on expectations of profitability and the risk of their alternatives. These expectations are difficult to predict because they depend upon various factors that are highly uncertain, including...
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