Universidad Complutense de Madrid
E-Prints Complutense

Mean-variance portfolio methods for energy policy risk management

Impacto

Downloads

Downloads per month over past year



Marrero , Gustavo A. and Puch, Luis A. and Ramos-Real , Francisco J. (2013) Mean-variance portfolio methods for energy policy risk management. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 41, 2013, ] (Unpublished)

[img] PDF
Creative Commons Attribution Non-commercial.

329kB


Abstract

The risks associated with current and prospective costs of different energy technologies are crucial in assessing the efficiency of the energy mix. However, energy policy typically relies on the evolution of average costs, neglecting the covariances in the costs of the different energy technologies in the mix. Mean-Variance Portfolio Theory is implemented to evaluate jointly the average costs and the associated volatility of alternative energy combinations. In addition systematic and non-systematic risks associated with the energy technologies are computed based on a Capital Asset Pricing Model and considering time varying betas. It is shown that both electricity generation and fuel use imply risks that are idiosyncratic and with relevant implications for energy and environmental policy.


Item Type:Working Paper or Technical Report
Additional Information:

JEL Classification: G11, G12, Q43.
We would like to thank the Guest Editors, Shawkat Hammoudeh and Michael McAleer, the Editor, Hamid Beladi, and a referee for thoughtful comments and suggestions. We also thank Ricardo Guerrero, José Manuel Martínez-Duart and Alfonso Novales for their very helpful comments. Corresponding author: Luis A. Puch, Dto. Economía Cuantitativa, Universidad Complutense de Madrid, 28223 Somosaguas, Madrid, Spain. lpuch@ccee.ucm.es

Uncontrolled Keywords:Mean-variance, CAPM model, Energy risks, Energy mix, Energy policy.
Subjects:Social sciences > Economics > Econometrics
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2013
Number:41
ID Code:24003
Deposited On:19 Dec 2013 10:41
Last Modified:16 Feb 2016 09:33

Origin of downloads

Repository Staff Only: item control page