Abstract
Commodity and energy production assets are managed as real options on market uncertainties. Social impacts of plant shutdowns incentivize balancing asset value with shutdown probability. We propose new shutdown-averse policies based on the popular dynamic conditional value-at-risk (CVaR). We analytically and numerically compare these policies to known shutdown-averse policies based on anticipated regret (AR). Our findings support the use of AR over CVaR to embed shutdown-aversion and the consideration of hybrid policies that are asymptotically time-consistent but easily interpretable.
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