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Risk Assessment for Generation Investment by Random NPV Probit Model based on UNPV Method
https://ncu.repo.nii.ac.jp/records/2283
https://ncu.repo.nii.ac.jp/records/2283a2cc1837-0b46-48b1-b132-29f19138237c
名前 / ファイル | ライセンス | アクション |
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B41-20170731-75 (3.2 MB)
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Item type | 紀要論文2 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2018-12-07 | |||||
タイトル | ||||||
タイトル | Risk Assessment for Generation Investment by Random NPV Probit Model based on UNPV Method | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | expected utility theory | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | generation | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | investment evaluation | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | Monte Carlo method | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | natural gas | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | power system economics | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | probit model | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | random net present value | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | risk | |||||
キーワード | ||||||
言語 | en | |||||
主題Scheme | Other | |||||
主題 | utility indifference pricing | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
著者 |
Miyauchi, Hajime
× Miyauchi, Hajime× 三澤, 哲也 |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Following the deregulation of the electric power industry, uncertainties such as volatilities in the demand and price of electric power and fuel have increased. It is therefore necessary to develop a new method to evaluate investment risks. We have previously developed a risk assessment method using utility indifference net present value (UNPV method). Though identifying the utility function used in the UNPV method is difficult, we propose a “probit” type statistical model to evaluate the investments. The model is derived from a simplification of the UNPV method, and is provided as a type of regression equation for the statistical moments of random net present value (RNPV). We compose a probit model for investment evaluation of a gas thermal power plant project, and compare the results of the UNPV method and the proposed probit model to examine the effectiveness of the proposed probit model. |
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書誌情報 |
オイコノミカ 巻 54, 号 1, p. 75-89, 発行日 2017-07-31 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 03891364 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN00025971 |