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2013 | 23 | nr 4 | 21--38
Tytuł artykułu

Multi-Period Portfolio Optimization of Power Generation Assets

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The liberalization and deregulation of the energy industry in the past decades have been significantly affected by changes in the strategies of energy firms. The traditionally used approach of cost minimization was no longer sufficient, risk and market behavior could no longer be ignored and the need for more appropriate optimization methods for uncertain environments was increased. Meanvariance portfolio (MVP) theory is one of the more advanced financial methods that has been successfully applied to the energy sector. Unfortunately, this static approach is inadequate for studying multi-stage investment decision problems. The methodology proposed in this paper considering power generation assets is based on the model introduced by Mulvey, who suggests a reallocation approach using the analysis of various scenarios. The adoption of this methodology to power generation assets allows us to capture the impact of variations in the economic and technical parameters considered. The results of our study show that the application of a model for selection of multi-period portfolio can indeed improve the decision making process. Especially for the case of adding new investments to the portfolio mix, this rebalancing model captures new entries very well. (original abstract)
Rocznik
Tom
23
Numer
Strony
21--38
Opis fizyczny
Twórcy
  • RWTH Aachen University
  • RWTH Aachen University
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171283101

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