Essays on Energy Assets Management:Operations, Valuation, and Financing.

Energy Assets;Financing;Stochastic Optimization;Finance;Management;Industrial and Operations Engineering;Economics;Engineering;Business;Business Administration

Wang, DadiWu, Xun ;

University of Michigan

关键词: Energy Assets;    Financing;    Stochastic Optimization;    Finance;    Management;    Industrial and Operations Engineering;    Economics;    Engineering;    Business;    Business Administration;   

Others  :  https://deepblue.lib.umich.edu/bitstream/handle/2027.42/96132/wangdd_1.pdf?sequence=1&isAllowed=y

瑞士|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

Management of energy assets is a critical part of many business processes and has received significant attentions in the operations management area recently. This thesis includes three essays on the operations, valuation and financing of energy assets. How the energy assets are operated determines the value of the assets. Different financing policies impose different constraints on operations and hence affect the valuation of the assets.The first essay studies the valuation of seasonal energy storage and proposes a new approach to improve a common practice in the industry. According to the industry heuristics, the firm decides its energy injection/withdrawal operations by solving static optimization problems contingent on the forward curve observed in the market, and dynamically adjusts operations as the forward curve changes over time. The new approach improves the industry practice by embedding the option values not captured by the static optimization into adjusted forward curves and applying the static optimization to the adjusted forward curve. Numerical experiments show this price-adjusted approach can significantly close the gap between the industry practice and the optimal valuation. The second essay develops a model to integrate the granular spot market operations into the valuation and risk management of energy storage. The firm takes profit not only from the winter-to-summer futures price differentials but also from the spot-futures price differentials due to higher spot market volatility.I study the structure of the optimal inventory control and trading strategy, and also construct a heuristic policy that is numerically shown to be near-optimal. In the third essay, I develop a multi-period model to explore the interactions between financing method and operations for non-renewable resource projects. I analyze how different financing approaches (e.g., equity and debt) impose restrictions on project operations and affect the cash-flows in different ways. I describe the conditions under which equity performs better than debt financing and vice versa, and how the financing choice is affected by various market factors.