| 1. |
- 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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| 2. |
- 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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| 3. |
- Nagurney, Anna, et al.
(författare)
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A Cournot-Nash–Bertrand Game Theory Model of a Service-Oriented Internet with Price and Quality Competition Among Network Transport Providers
- 2014
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; 11:4, s. 475-502
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Tidskriftsartikel (refereegranskat)abstract
- This paper develops a game theory model of a service-oriented Internet in which profit-maximizing service providers provide substitutable (but not identical) services and compete with the quantities of services in a Cournot–Nash manner, whereas the network transport providers, which transport the services to the users at the demand markets, and are also profit-maximizers, compete with prices in Bertrand fashion and on quality. The consumers respond to the composition of service and network provision through the demand price functions, which are both quantity and quality dependent. We derive the governing equilibrium conditions of the integrated game and show that it satisfies a variational inequality problem. We then describe the underlying dynamics, and provide some qualitative properties, including stability analysis. The proposed algorithmic scheme tracks, in discrete-time, the dynamic evolution of the service volumes, quality levels, and the prices until an approximation of a stationary point (within the desired convergence tolerance) is achieved. Numerical examples demonstrate the modeling and computational framework.
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| 4. |
- Nagurney, Anna, et al.
(författare)
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Equilibria and Dynamics of Supply Chain Network Competition with Information Asymmetry in Quality and Minimum Quality Standards
- 2014
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; 11:3, s. 285-315
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we construct a supply chain network model with information asymmetry in product quality. The competing, profit-maximizing firms with, possibly, multiple manufacturing plants, which may be located on-shore or off-shore, are aware of the quality of the product that they produce but consumers, at the demand markets, only know the average quality. Such a framework is relevant to products ranging from certain foods to pharmaceuticals. We propose both an equilibrium model and its dynamic counterpart and demonstrate how minimum quality standards can be incorporated. Qualitative results as well as an algorithm are presented, along with convergence results. The numerical examples, accompanied by sensitivity analysis, reveal interesting results and insights for firms, consumers, as well as policy-makers, who impose the minimum quality standards.
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| 5. |
- Nagurney, Anna
(författare)
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Financial networks
- 2013
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; 10:2-3, s. 77-80
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Tidskriftsartikel (refereegranskat)
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| 6. |
- Nagurney, Anna, et al.
(författare)
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Supply chain network sustainability under competition and frequencies of activities from production to distribution
- 2013
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; 10:4, s. 397-422
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we develop a competitive supply chain network model with multiple firms, each of which produces a differentiated product by brand and weights the emissions that it generates through its supply chain network activities in an individual way. The supply chain network activities of production, transport and distribution, and storage have associated with them distinct capacities and the firms seek to determine their optimal product flows and frequencies of operation so that their utilities are maximized where the utilities consist of profits and weighted emissions. Multiple production, storage, and transport mode options are allowed. The governing equilibrium concept is that of Cournot–Nash equilibrium. We provide both path and link flow variational inequality formulations of the equilibrium conditions and then propose an algorithm, which, at each iteration, yields closed form expressions for the underlying variables. Numerical examples illustrate the generality of the model and the information provided to managerial decision-makers and policy-makers. This paper adds to the growing literature on sustainable supply chains through the development of a computable general competitive supply chain network game theory model, which brings a greater realism to the evaluation of profit and emission trade-offs through the incorporation of frequencies.
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