| 1. |
- Barth, Maren S., et al.
(författare)
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Emergency exit layout planning using optimization and agent-based simulation
- 2024
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Ingår i: Computational Management Science. - : SPRINGER HEIDELBERG. - 1619-697X .- 1619-6988. ; 21:1
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Tidskriftsartikel (refereegranskat)abstract
- Evacuation preparedness includes ensuring proper infrastructure, resources and planning for moving people from a dangerous area to safety. This is especially important and challenging during mass gatherings, such as large concerts. In this paper, we present the Emergency Exit Layout Problem (EELP) which is the problem of locating a given number of emergency exits and deciding their width such that the time it takes to evacuate the crowd from an arena is minimized. The EELP takes into account the geography of the arena and its surroundings, as well as the number of pedestrians in the crowd and the distribution of these within the arena. The EELP is formulated as a two-stage stochastic mixed integer linear program to handle the uncertainty related to the location of the possible incidents and the distribution of the pedestrians. Two cases are studied, a large concert planned at the Leangen trotting track in Trondheim and a smaller indoor arena. For each case, the EELP is solved for different scenarios, and the suggested layouts are evaluated using an agent-based simulation model. In particular, the potential of incorporating detailed assessment regarding the location and probability of specific incidents and the distribution of pedestrians are investigated. The computational study shows that making a more detailed risk assessment has little effect on the large concert, but a significant impact on the location of the emergency exits for the smaller indoor case. The results also indicate that it is more important to consider the location and probability of specific incidents rather than the pedestrian distribution.
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| 2. |
- Bodnar, Taras, et al.
(författare)
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Determination and estimation of risk aversion coefficients
- 2018
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; 15:2, s. 297-317
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Tidskriftsartikel (refereegranskat)abstract
- In the paper we consider two types of utility functions often used in portfolio allocation problems, i.e. the exponential utility and the quadratic utility. We link the resulting optimal portfolios obtained by maximizing these utility functions to the corresponding optimal portfolios based on the minimum value-at-risk (VaR) approach. This allows us to provide analytic expressions for the risk aversion coefficients as functions of the VaR level. The results are initially derived under the assumption that the vector of asset returns is multivariate normally distributed and they are generalized to the class of elliptically contoured distributions thereafter. We find that the choice of the coefficients of risk aversion depends on the stochastic model used for the data generating process. Finally, we take the parameter uncertainty into account and present confidence intervals for the risk aversion coefficients of the considered utility functions. The theoretical results are validated in an empirical study.
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| 3. |
- Bodnar, Taras, et al.
(författare)
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Multi-period power utility optimization under stock return predictability
- 2023
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; 20:1
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we derive an analytical solution to the dynamic optimal portfolio choice problem in the case of an investor equipped with a power utility function of wealth. The results are established by solving the Bellman backward recursion under the assumption that the vector of asset returns follows a vector-autoregressive process with predictable variables. In an empirical study, the performance of the derived solution is compared with the one obtained by applying the numerical method. The comparison is performed in terms of the final wealth and its expected utility. It is documented that the application of the analytical solution to the multi-period portfolio choice problem leads to higher values of both the final wealth and the expected utility.
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| 4. |
- Bodnar, Taras, et al.
(författare)
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Quantile-based optimal portfolio selection
- 2021
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; :18, s. 299-324
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Tidskriftsartikel (refereegranskat)abstract
- In this paper the concept of quantile-based optimal portfolio selection is introduced and a specific portfolio connected to it, the conditional value-of-return (CVoR) portfolio, is proposed. The CVoR is defined as the mean excess return or the conditional value-at-risk (CVaR) of the return distribution. The portfolio selection consists solely of quantile-based risk and return measures. Financial institutions that work in the context of Basel 4 use CVaR as a risk measure. In this regulatory framework sufficient and necessary conditions for optimality of the CVoR portfolio are provided under a general distributional assumption. Moreover, it is shown that the CVoR portfolio is mean-variance efficient when the returns are assumed to follow an elliptically contoured distribution. Under this assumption the closed-form expression for the weights and characteristics of the CVoR portfolio are obtained. Finally, the introduced methods are illustrated in an empirical study based on monthly data of returns on stocks included in the S&P index. It is shown that the new portfolio selection strategy outperforms several alternatives in terms of the final investor wealth.
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| 5. |
- Dorea, Chin, et al.
(författare)
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Capacity expansion and forward contracting in a duopolistic power sector
- 2014
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; 11:1-2, s. 57-86
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Tidskriftsartikel (refereegranskat)abstract
- The surge in demand for electricity in recent years requires that power companies expand generation capacity sufficiently. Yet, at the same time, energy demand is subject to seasonal variations and peak-hour factors that cause it to be extremely volatile and unpredictable, thereby complicating the decision-making process. We investigate how power companies can optimise their capacity-expansion decisions while facing uncertainty and examine how expansion and forward contracts can be used as suitable tools for hedging against risk under market power. The problem is solved through a mixed-complementarity approach. Scenario-specific numerical results are analysed, and conclusions are drawn on how risk aversion, competition, and uncertainty interact in hedging, generation, and expansion decisions of a power company. We find that forward markets not only provide an effective means of risk hedging but also improve market efficiency with higher power output and lower prices. Power producers with higher levels of risk aversion tend to engage less in capacity expansion with the result that together with the option to sell in forward markets, very risk-averse producers generate at a level that hardly varies with scenarios.
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| 6. |
- Fotedar, Sunney, 1989, et al.
(författare)
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A criterion space decomposition approach to generalized tri-objective tactical resource allocation
- 2023
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; 20:1
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Tidskriftsartikel (refereegranskat)abstract
- We present a tri-objective mixed-integer linear programming model of the tactical resource allocation problem with inventories, called the generalized tactical resource allocation problem (GTRAP). We propose a specialized criterion space decomposition strategy, in which the projected two-dimensional criterion space is partitioned and the corresponding sub-problems are solved in parallel by application of the quadrant shrinking method (QSM) (Boland in Eur J Oper Res 260(3):873–885, 2017) for identifying non-dominated points. To obtain an efficient implementation of the parallel variant of the QSM we suggest some modifications to reduce redundancies. Our approach is tailored for the GTRAP and is shown to have superior computational performance as compared to using the QSM without parallelization when applied to industrial instances.
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| 7. |
- Guo, Xiaojia, et al.
(författare)
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The natural hedge of a gas-fired power plant
- 2016
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; 13:1, s. 63-86
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Tidskriftsartikel (refereegranskat)abstract
- Electricity industries worldwide have been restructured in order to introduce competition. As a result, decision makers are exposed to volatile electricity prices, which are positively correlated with those of natural gas in markets with price-setting gas-fired power plants. Consequently, gas-fired plants are said to enjoy a “natural hedge.” We explore the properties of such a built-in hedge for a gas-fired power plant via a stochastic programming approach, which enables characterisation of uncertainty in both electricity and gas prices in deriving optimal hedging and generation decisions. The producer engages in financial hedging by signing forward contracts at the beginning of the month while anticipating uncertainty in spot prices. Using UK energy price data from 2006 to 2011 and daily aggregated dispatch decisions of a typical gas-fired power plant, we find that such a producer does, in fact, enjoy a natural hedge, i.e., it is better off facing uncertain spot prices rather than locking in its generation cost. However, the natural hedge is not a perfect hedge, i.e., even modest risk aversion makes it optimal to use gas forwards partially. Furthermore, greater operational flexibility enhances this natural hedge as generation decisions provide a countervailing response to uncertainty. Conversely, higher energy-conversion efficiency reduces the natural hedge by decreasing the importance of natural gas price volatility and, thus, its correlation with the electricity price.
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| 8. |
- Hagenbjörk, Johan, 1985-, et al.
(författare)
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Simulation and evaluation of the distribution of interest rate risk
- 2019
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Ingår i: Computational Management Science. - New York : Springer Publishing Company. - 1619-697X .- 1619-6988. ; 16:1-2, s. 297-327
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Tidskriftsartikel (refereegranskat)abstract
- We study methods to simulate term structures in order to measure interest rate risk more accurately. We use principal component analysis of term structure innovations to identify risk factors and we model their univariate distribution using GARCH-models with Student’s t-distributions in order to handle heteroscedasticity and fat tails. We find that the Student’s t-copula is most suitable to model co-dependence of these univariate risk factors. We aim to develop a model that provides low ex-ante risk measures, while having accurate representations of the ex-post realized risk. By utilizing a more accurate term structure estimation method, our proposed model is less sensitive to measurement noise compared to traditional models. We perform an out-of-sample test for the U.S. market between 2002 and 2017 by valuing a portfolio consisting of interest rate derivatives. We find that ex-ante Value at Risk measurements can be substantially reduced for all confidence levels above 95%, compared to the traditional models. We find that that the realized portfolio tail losses accurately conform to the ex-ante measurement for daily returns, while traditional methods overestimate, or in some cases even underestimate the risk ex-post. Due to noise inherent in the term structure measurements, we find that all models overestimate the risk for 10-day and quarterly returns, but that our proposed model provides the by far lowest Value at Risk measures.
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| 9. |
- Hassanzadeh Moghimi, Farzad, et al.
(författare)
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Flexible supply meets flexible demand : prosumer impact on strategic hydro operations
- 2023
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Ingår i: Computational Management Science. - 1619-697X .- 1619-6988. ; 20:1
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Tidskriftsartikel (refereegranskat)abstract
- Ambitious climate packages promote the integration of variable renewable energy (VRE) and electrification of the economy. For the power sector, such a transformation means the emergence of so-called prosumers, i.e., agents that both consume and produce electricity. Due to their inflexible VRE output and flexible demand, prosumers will potentially add endogenous net sales with seasonal patterns to the power system. With its vast hydro reservoirs and ample transmission capacity, the Nordic region is seemingly well positioned to cope with such intermittent VRE output. However, the increased requirement for flexibility may be leveraged by incumbent producers to manipulate prices. Via a Nash-Cournot model with a representation of the Nordic region’s spatio-temporal features and reservoir volumes, we examine how hydro producers’ ability to manipulate electricity prices through temporal arbitrage is affected by (i) VRE-enabled prosumers and (ii) the latter plus a high CO22 price. We find that hydro reservoirs could exploit prosumers’ patterns of net sales to conduct temporal arbitrage more effectively, viz., by targeting periods in which prosumers are net buyers (net sellers) to withhold (to “dump”) water. Meanwhile, a higher CO22 price would further enhance hydro reservoirs’ market power because flexible price-taking thermal plants would be unable to ramp up production in order to counter such producers’ strategy to target VRE’s intermittency. Hence, in spite of a flexible demand side to complement additional intermittent VRE output, strategic hydro producers may still exacerbate price manipulation in a future power sector via more tailored exercise of market power.
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| 10. |
- Heydari, S., et al.
(författare)
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Real options analysis of investment in carbon capture and sequestration technology
- 2012
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; 9:1, s. 109-138
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Tidskriftsartikel (refereegranskat)abstract
- Among a comprehensive scope of mitigation measures for climate change, CO 2 capture and sequestration (CCS) plays a potentially significant role in industrialised countries. In this paper, we develop an analytical real options model that values the choice between two emissions-reduction technologies available to a coal-fired power plant. Specifically, the plant owner may decide to invest in either full CCS (FCCS) or partial CCS (PCCS) retrofits given uncertain electricity, CO 2, and coal prices. We first assess the opportunity to upgrade to each technology independently by determining the option value of installing a CCS unit as a function of CO 2 and fuel prices. Next, we value the option of investing in either FCCS or PCCS technology. If the volatilities of the prices are low enough, then the investment region is dichotomous, which implies that for a given fuel price, retrofitting to the FCCS (PCCS) technology is optimal if the CO 2 price increases (decreases) sufficiently. The numerical examples provided in this paper using current market data suggest that neither retrofit is optimal immediately. Finally, we observe that the optimal stopping boundaries are highly sensitive to CO 2 price volatility.
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