2014
DOI: 10.1080/02331934.2014.895900
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A multi-period stochastic portfolio optimization model applied for an airline company in the EU ETS

Abstract: This paper aims to set up and solve a multi-period stochastic portfolio optimization model from an airline company's point of view, considering all the specific European Union Emissions Trading Scheme (EU ETS) regulatory, managerial and trading constraints (i.e. physical constraints). Our contribution to existing academic literature is multiple. As the first ever case, we apply this technique to the aviation sector, a newly included sector within the EU ETS. More than mainly incorporating physical and technica… Show more

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Cited by 6 publications
(3 citation statements)
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“…*** This is the average ECB lending rate since the introduction of the Euro until quantitative easing in 2015. Static Parameters for Monte Carlo Simulations of the Sabatier Process R&D emission allowance prices followingDaskalakis et al (2009),Kalayci et al (2014) andGurler et al…”
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confidence: 99%
“…*** This is the average ECB lending rate since the introduction of the Euro until quantitative easing in 2015. Static Parameters for Monte Carlo Simulations of the Sabatier Process R&D emission allowance prices followingDaskalakis et al (2009),Kalayci et al (2014) andGurler et al…”
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confidence: 99%
“…This is critical as incremental of emissions costs. Expenses of ETS can be reduced by purchasing carbon credit of CERs (Certified Emission Reduction) from Clean Development Mechanism (CDM) [5,6] Hydrotreating is a suitable process for converting bio oil to biofuel because various products such as green diesel, bio jet fuel and gasoline can be obtained [1]. These products show the similar properties with fossil fuel, especially the heating value.…”
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confidence: 99%
“…6 Acidity from NH3-TPD of 12.5Ni2.5Cu/HZSM-5 catalysts powder and pellet……………………………………………………………………………………….40Table 5.7 BET surface areas, pore volume and pore size of NiCu/HZSM-5 powder and pellet catalysts…………………………………………………….………………….43 Table 5.8 Effect of LHSV on liquid products……………………………………………………………….44 Table 5.9 Composition of liquid product (before distillation) and bio jet range product (after distillation) of 12.5Ni2.5Cu/HZSM-5 pellet by GC-MS analysis (vol.%)……………………………………………………………………………………..………46…”
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confidence: 99%