2009 年 129 巻 12 号 p. 1486-1493
This paper discusses investment strategies in distributed energy system consisting of cogeneration system and renewable power generation, under uncertainty in the natural gas and the electricity prices as well as related risk assessment of investment strategies. Although incentives for introducing distributed energy system increase these days, volatile natural gas prices make its investment risky. Therefore, it is important to evaluate the risk under uncertainty and find strategies which reduce the exposure to volatility. We take the real option approach to analyze investment decision. By varying the parameters of prices volatility and correlation between uncertainty of natural gas price with that of electricity price, we find that the optimal investment strategy depends on the level of uncertainty and correlation. When volatility is large and correlation is small, strategies with installation option of small renewable power generation, here, photovoltaic generation, and small cogeneration system become attractive in terms of risk reduction.
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