排污权价格随机情境下基于CVaR准则的企业生产决策

doi:10.16381/j.cnki.issn1003-207x.2020.0064

摘要/Abstract

摘要： 面向排污权市场价格随机情境，通过提取理性企业在产品生产、污染削减、排污权交易等方面决策行为与排污权市场价格之间的关联性，推导了排污权市场价格随机情境下的企业随机利润函数；基于条件风险价值(CVaR)风险度量准则，推导了任意置信水平下随机利润的风险价值(VaR)解析表达式，建立了不同排污权预期价格和置信水平下的CVaR测度模型；基于此，深入论证了给定置信水平下实现随机利润CVaR最大化的企业最优决策及其特征，并系统分析了外部情景要素变动对最优决策及其优化结果的影响。主要结论表明：在企业分别作为排污权出售者与购买者两种情况下，随机利润CVaR的具体测度因利润下行风险存在的排污权市场价格区间不同而存在差异；基于CVaR准则，考虑决策风险的最优决策受到决策主体置信水平、排污权初始配额、排污权市场价格均值及标准差等多因素的复杂影响，进而系统性地偏离风险中性最优决策，并表现出风险规避特征；通过算例分析对所得结论进行全面验证，进一步说明该模型能较好地刻画与反映排污权交易企业决策风险及其现实决策行为。

关键词: 排污权交易;排污权市场价格随机;生产决策;条件风险价值;风险规避

Abstract: Facing the objective situation that the price of emission permits is uncertain, the firm’s random profit function under a stochastic emission permits price is firstly developed, by extracting the correlations between emission permits price and rational firm’s optimal decision-making behavior, including product output, emission reduction and permits trading. Based on the criterion of conditional value-at-risk (CVaR), the analytic expression of value-at-risk (VaR) of firm’s random profit at any given confidence level is derived directly, and the CVaR model with different firm’s expected price of emission permits and confidence level is established consequently. With the goal of maximizing the CVaR of firm’s random profit, the optimal decision and its characteristics are demonstrated under the given condition level. Additionally, the influences of external scenario factors on the optimal decision and optimization result are emphatically analyzed. The results show that, the measure formula of CVaR of random profit varies between the circumstances of firm selling emission permits and purchasing emission permits duo to the difference of the emission permits price range where the profit downside risk exists under each circumstance. The optimal decision considering decision risk based on CVaR criterion would be influenced by the confidence level of decision-maker, initial quota of emission permits, the mean and standard deviation of the emission permits price, hence would systematically deviate from the risk neutral optimal decision and behave with the characteristics of risk aversion. Finally, the conclusion is verified comprehensively through numerical examples, which further indicate that the model proposed can better characterize and reflect the risk and actual behavior of firms under emission trading regulation with stochastic emission permits price.

Key words: emissions trading; stochastic emission permits price; production decision; conditional value-at-risk; risk aversion

中图分类号:

F205
X32

金帅, 吴苏闽, 蒋思琦. 排污权价格随机情境下基于CVaR准则的企业生产决策[J]. 中国管理科学, 2022, 30(9): 232-244.

JIN Shuai, WU Su-min, JIANG Si-qi. Firm’s Production Decision under Stochastic Emission Permits Price Based on CVaR Criterion[J]. Chinese Journal of Management Science, 2022, 30(9): 232-244.

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