Portfolio Analysis on Polish Power Exchange and European Energy Exchange

• Autorzy: Barbara Glensk , Alicja Ganczarek-Gamrot , Grażyna Trzpiot
• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is a comparative analysis of contract electric energy portfolios at Polish Power Exchange (POLPX) and European Energy Exchange (EEX) spot markets. The multi-criteria approach proposed in this paper is based on minimization of the Conditional Value at Risk with the confidence level 0.95 and maximization of portfolio rates of return. The analyzed portfolios have been constructed independently for each power exchange (for investors who are interested to invest on one market only), as well as for POLEX and EEX together (for investors who invest on more than one market) with two criteria. (original abstract)

Słowa kluczowe

EN

Portfolio analysis; Value at Risk Analysis; Stock exchange; Stock market; Energy market

PL

Analiza portfelowa; Analiza wartości zagrożonej; Giełda; Giełda papierów wartościowych; Rynek energetyczny

• Czasopismo: Multiple Criteria Decision Making / University of Economics in Katowice
• Rocznik: 2013
• Tom: 8
• Strony: 18--30

Twórcy

autor

Barbara Glensk

• RWTH Aachen University

autor

Alicja Ganczarek-Gamrot

• University of Economics in Katowice, Poland

autor

Grażyna Trzpiot

• University of Economics in Katowice, Poland

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