It was shown in Xia that for incomplete markets with continuous assets＇ price processes and for complete markets the mean-variance portfolio selection can be viewed as expected utility maximization with non-negative ...It was shown in Xia that for incomplete markets with continuous assets＇ price processes and for complete markets the mean-variance portfolio selection can be viewed as expected utility maximization with non-negative marginal utility. In this paper we show that for discrete time incomplete markets this result is not true.展开更多
China has promised to start the national carbon trading system in 2017.In the carbon trading system,the renewable energy projects may obtain additional benefits through the Certified Carbon Emission Reduction(CCER) tr...China has promised to start the national carbon trading system in 2017.In the carbon trading system,the renewable energy projects may obtain additional benefits through the Certified Carbon Emission Reduction(CCER) trade.As the carbon price fluctuates along with the market conditions,such fluctuation enables the renewable power projects to acquire the rights of an option,i.e.it may contain an even higher value due to the uncertainties in the future.While making an investment decision,the renewable power companies may choose to make the investment immediately,or postpone the investment and accumulate more information to increase the return of investment;and for immediate investments,the return must be sufficient to exceed the potential value of a waiting option.To study the investment in renewable power projects subject to the fluctuation of carbon price,this paper adopts the trinomial tree model of real options to estimate the net present value(NPV) and real option value(ROV) of three types of renewable power projects;according to the decision-making rules of real options to defer,all the three types of projects will exercise the option to postpone the investment decision.This thesis also calculates the benchmark prices of the three types of renewable projects at different times,in the two situations of having no government subsidy and having the government subsidy,so as to determine the investment opportunity of a project.The benchmark price decreases gradually along with the increase of government subsidy,indicating that the government subsidy will stimulate the investment in renewable projects.The benchmark price also increases gradually along with the lapse of time,indicating that the uncertainty will increase together with the time span and thus requires an even higher carbon price to determine the investment opportunity.This thesis also analyzes the sensitivity of factors affecting the investment in renewable projects and draws the conclusion that the fluctuation of carbon price is positively related with t展开更多
文摘It was shown in Xia that for incomplete markets with continuous assets＇ price processes and for complete markets the mean-variance portfolio selection can be viewed as expected utility maximization with non-negative marginal utility. In this paper we show that for discrete time incomplete markets this result is not true.
文摘China has promised to start the national carbon trading system in 2017.In the carbon trading system,the renewable energy projects may obtain additional benefits through the Certified Carbon Emission Reduction(CCER) trade.As the carbon price fluctuates along with the market conditions,such fluctuation enables the renewable power projects to acquire the rights of an option,i.e.it may contain an even higher value due to the uncertainties in the future.While making an investment decision,the renewable power companies may choose to make the investment immediately,or postpone the investment and accumulate more information to increase the return of investment;and for immediate investments,the return must be sufficient to exceed the potential value of a waiting option.To study the investment in renewable power projects subject to the fluctuation of carbon price,this paper adopts the trinomial tree model of real options to estimate the net present value(NPV) and real option value(ROV) of three types of renewable power projects;according to the decision-making rules of real options to defer,all the three types of projects will exercise the option to postpone the investment decision.This thesis also calculates the benchmark prices of the three types of renewable projects at different times,in the two situations of having no government subsidy and having the government subsidy,so as to determine the investment opportunity of a project.The benchmark price decreases gradually along with the increase of government subsidy,indicating that the government subsidy will stimulate the investment in renewable projects.The benchmark price also increases gradually along with the lapse of time,indicating that the uncertainty will increase together with the time span and thus requires an even higher carbon price to determine the investment opportunity.This thesis also analyzes the sensitivity of factors affecting the investment in renewable projects and draws the conclusion that the fluctuation of carbon price is positively related with t
