Abstract:
The aim of this project is to model optimal dynamic behaviour of a risk-averse European carbon-emitting steel producer, to design and implement an algorithm solving the corresponding multi-stage
optimisation problem and apply the model to a real-life steel company.
A linear combination of mean profit and conditional value at risk will serve as a decision criterion; decision variables will include production plans and amounts of allowances held.
In addition to the solution and implementation of the model, stability with respect to crisis scenarios will be studied.