Palabras clave
Proyectos de generación eléctrica
análisis de inversiones bajo incertidumbre
certificados de reducción de emisiones Electric generation projects
analysis of investments under uncertainty
emission reduction certificates Projetos de produção elétrica
análise de investimentos sob incerteza
certificados de redução de emissões
análisis de inversiones bajo incertidumbre
certificados de reducción de emisiones Electric generation projects
analysis of investments under uncertainty
emission reduction certificates Projetos de produção elétrica
análise de investimentos sob incerteza
certificados de redução de emissões
Cómo citar
Manotas Duque, D. F. (2017). Evaluación de proyectos de generación eléctrica bajo incertidumbre en política climática. Entramado, 9(1), 102–177. Recuperado a partir de https://revistas.unilibre.edu.co/index.php/entramado/article/view/3447
Resumen
Se presentan los resultados de un modelo de evaluación financiera de plantas de generación hidroeléctrica de mediana capacidad, considerando la incertidumbre asociada a variables como el precio de la electricidad, el nivel de generación real y la política climática, materializada a través de los precios de los certificados de reducción de emisiones. El modelo desarrollado consta de dos etapas. La primera se basa en la metodología de flujo de caja libre descontado y en la segunda se propone un análisis basado en simulación de Monte Carlo, para considerar el nivel de riesgo de las variables críticas. Los precios de la electricidad se simularon mediante un proceso Wiener generalizado, con parámetros de tendencia y volatilidad obtenidos a partir del análisis de los precios medios de contratos bilaterales reportados en el mercado eléctrico colombiano. Para la generación real, se ajustó una distribución de probabilidad basada en la información de factor de planta de un grupo de pequeñas centrales hidroeléctricas en el mercado colombiano. Posteriormente se estudiaron los indicadores de riesgo financiero del proyecto y se realizó un análisis de sensibilidad en diferentes franjas de precio de los certificados de reducción de emisiones. Los resultados muestran que si bien los incentivos en materia de política climática están bien intencionados, su efectividad en relación con la rentabilidad de los proyectos no es la mejor si se consideran las perspectivas de precio de los certificados de reducción de emisiones.
Citas
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28. SCHWARTZ, E. Valuing long-term commodity assets. In: Journal of Energy Finance & Development. Vol. 3, No. 2 (1998); p. 85-99.
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2. ANTUNES, C. H., MARTINS, A. G. & BRITO, I. S. A multiple objective mixed integer linear programming model for power generation expansion planning. In: Energy. Vol. 29, No. 4 (Mar. 2004); p. 613-627.
3. ARANGO, S. & LARSEN, E. R. The environmental paradox in generation: How South America is gradually becoming more dependent on thermal generation. In: Renewable and Sustainable Energy Reviews. Vol. 14, No. 9 (Dec. 2010); p. 2956-2965.
4. BARRIA, C. & RUDNICK, H. Investment under Uncertainty in Power Generation: Integrated Electricity Prices Modeling and Real Options Approach. In: Latin America Transactions, IEEE (Revista IEEE America Latina). Vol.9, No.5 (Sep. 2011); p. 785- 792.
5. BLYTH, W., BRADLEY, R., BUNN, D., CLARKE, C., WILSON, T. & YANG, M. Investment risks under uncertain climate change policy. In: Energy Policy. Vol. 35, No. 11 (Nov. 2007); p. 5766- 5773.
6. CARERI, F., GENESI, C., MARANNINO, P., MONTAGNA, M., ROSSI, S. & SIVIERO, I. Generation Expansion Planning in the Age of Green Economy. In: Power Systems, IEEE Transactions on Power Systems. Vol. 26, No.4 (2011); p. 2214-2223.
7. CHEN, S.-L., ZHAN, T.-S. & TSAY, M.-T. Generation expansion planning of the utility with refined immune algorithm. In: Electric Power Systems Research. Vol. 76, No. 4 (Jan. 2006); p. 251-258.
8. DIXIT, A. & PINDYCK, R. Investment Under Uncertainty, United States of America, Princeton University Press, 1994. 476 p.
9. FIRMO, H. T. & LEGEY, L. F. L. Generation expansion planning: An iterative genetic algorithm approach. In: IEEE Transactions on Power Systems. Vol. 17, No.3 (Ago. 2002); p. 901-906.
10. FLETEN, S.-E. & KRISTOFFERSEN, T. K. Stochastic programming for optimizing bidding strategies of a Nordic hydropower producer. In: European Journal of Operational Research. Vol.181, No.2 (Sep. 2007); p. 916-928.
11. GRIFFES, P., HSU, M. & KAHN, E. Power Asset Valuation: Real Options, Ancillary Services, and Environmental Risks. The New Power Markets: Corporate Strategies for Risk and Reward. London: Risk Books, 1999.
12. HEIDARI, A. R. Generation expansion planning in pool market: A hybrid DP/GT model. In: International Conference on Systems – Proceedings. (2010); p. 87-92.
13. JALILZADEH, S., SHABANI, A. & AZADRU, A. Multi-period generation expansion planning using genetic algorithm. In: International Congress on Ultra Modern Telecommunications and Control Systems and Workshops. (2010); p. 358-363.
14. KARAKI, S. H., CHAABAN, F. B., AL-NAKHL, N. & TARHINI, K. A.. Power generation expansion planning with environmental consideration for Lebanon. In: International Journal of Electrical Power & Energy Systems. Vol. 24, No. 8. (Oct. 2002); p.611-619.
15. KJÆRLAND, F. A real option analysis of investments in hydropower--The case of Norway. In: Energy Policy.Vol. 35, No. 11 (Nov. 2007); p. 5901-5908.
16. LAURIKKA, H. Option value of gasification technology within an emissions trading scheme. In: Energy Policy. Vol. 34, No. 18 (Dic. 2006); p. 3916-3928.
17. LAURIKKA, H. & KOLJONEN, T. Emissions trading and investment decisions in the power sector—a case study in Finland. In: Energy Policy. Vol. 34, No. 9 (Jun. 2006); p.1063-1074.
18. LAURIKKA, H. & SPRINGER, U. Risk and return of project-based climate change mitigation: a portfolio approach. En: Global Environmental Change. Vol. 13, No. 3 (Mar. 2003); p. 207-217.
19. LEMMING, J. Financial risks for green electricity investors and producers in a tradable green certificate market. In: Energy Policy. Vol. 31, No. 1 (Jan. 2003); p. 21-32.
20. LUCIA, J. & SCHWARTZ, E. Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange. In: Review of Derivatives Research. Vol. 5, No. 1 (Jan. 2002); p. 5-50.
21. MALCOLM, S. A. & ZENIOS, S. A. Robust optimization for power systems capacity expansion under uncertainty. In: Journal of the Operational Research Society. Vol.45 (Sep. 1994); p. 1040-1049.
22. MASUD, A., MEZA, J. & YILDIRIM, M. A Multi-Objective Model for Power Generation Expansion Planning. IIE Annual Conference. Proceedings. (2007).
23. MISHRA, S., SINGAL, S. K. & KHATOD, D. K. Optimal installation of small hydropower plant—A review. In: Renewable and Sustainable Energy Reviews. Vol.15, No. 8 (Oct. 2011); p. 3862- 3869.
24. PARK, Y. M., PARK, J. B. & WON, J. R. A hybrid genetic algorithm/ dynamic programming approach to optimal long-term generation expansion planning. In: International Journal of Electrical Power & Energy Systems. Vol.20, No.4 (May. 1998); p. 295-303.
25. PEREIRA, A. J. C. & SARAIVA, J. T. Generation expansion planning (GEP) - A long-term approach using system dynamics and genetic algorithms (GAs). In: Energy. Vol. 36, No.8 (Ago. 2011); p. 5180- 5199.
26. PINDYCK, R. S. The Dynamics of Commodity Spot and Futures Markets: A Primer. In: The Energy Journal. 22, 3. (2001); p. 1-29.
27. SANTOLIN, A., CAVAZZINI, G., PAVESI, G., ARDIZZON, G. & ROSSETTI, A. Techno-economical method for the capacity sizing of a small hydropower plant. In: Energy Conversion and Management. 52, 7. (Jul. 2011); p. 2533-2541.
28. SCHWARTZ, E. Valuing long-term commodity assets. In: Journal of Energy Finance & Development. Vol. 3, No. 2 (1998); p. 85-99.
29. SHRESTHA, R. M. & ABEYGUNAWARDANA, A. M. A. K. Evaluation of economic rent of hydropower projects. En: Energy Policy. Vol.37, No. 5 (May. 2009); p.1886-1897.
30. SIRIKUM, J. & TECHANITISAWAD, A. Power generation expansion planning with emission control: A nonlinear model and a GA-based heuristic approach. In: International Journal of Energy Research. Vol. 30, No. 2 (Feb. 2006). p. 81-99.
31. TEKINER, H. Multi-objective stochastic models for electricity generation expansion planning problems considering risk. 2010. 251 p. PhD Thesis Industrial Engineering. Rutgers The State University of New Jersey.
32. TEKINER, H., COIT, D. W. & FELDER, F. A. Multi-period multiobjective electricity generation expansion planning problem with Monte-Carlo simulation. In: Electric Power Systems Research. Vol. 80, No. 12 (Dic. 2010); p. 1394-1405.
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