Events & Calendar

Séminaire Modélisation Stochastique LAMSIN-MIMS-IRA
Jun 30, 2021 to Jun 30, 2021

Location : ONLINE 11H30-12H30

Séminaire Périodique LAMSIN-MIMS-IRA

René  Aid (Paris Dauphine)

Title:  Optimal dynamic regulation of carbon emissions market: a variational approach

We consider the problem of reducing the carbon emissions of a set of firms over a finite horizon. A regulator dynamically allocates emission allowances to each firm. Firms face idiosyncratic as well as common economic shocks on emissions, and have linear quadratic abatement costs. Firms can trade allowances so to minimise total expected costs, from abatement and trading plus a quadratic terminal penalty. Using variational methods, we exhibit in closed-form the market equilibrium in function of regulator's dynamic allocation. We then solve the Stackelberg game between the regulator and the firms. Again, we obtain a closed-form expression of the dynamic allocation policies that allow a desired expected emission reduction. Optimal policies are not unique but share common properties. Surprisingly, all optimal policies induce a constant abatement effort and a constant price of allowances. Dynamic allocations outperform static ones because of adjustment costs and uncertainty, in particular given the presence of common shocks. Our results are robust to some extensions, like risk aversion of firms or different penalty functions. Based on joint work with S. Biagini.

Le séminaire se fera a distance, sur la plateforme ZOOM.  Le lien est disponible ci-dessous.

Time: May 26, 2021 11:30 PM Tunis

Join Zoom Meeting TBA

https://us02web.zoom.us/j/2616756988

IRA = Institute du Risque et de l'Assurance du Mans

Organizing Commitee:
Mohamed Mnif - Anis Matoussi - Sadok Kallel

Scientific Commitee:
Mohamed Mnif - Anis Matoussi

Sponsors:
MIMS

Organizing Commitee:
Mohamed Mnif - Anis Matoussi - Sadok Kallel

Scientific Commitee:
Mohamed Mnif - Anis Matoussi

Sponsors:
MIMS

List of participants to this conference
Jun 30, 2021 to Jun 30, 2021

No participants
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secretary@mims-institut.org