EconPapers    
Economics at your fingertips  
 

Mean-variance portfolio methods for energy policy risk management

Gustavo Marrero (), Luis Puch () and Francisco Ramos-Real ()

International Review of Economics & Finance, 2015, vol. 40, issue C, 246-264

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. The 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 to 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.

Keywords: Mean-variance; CAPM model; Energy risks; Energy mix; Energy policy (search for similar items in EconPapers)
JEL-codes: G11 G12 Q43 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056015000350
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Mean-variance portfolio methods for energy policy risk management (2013) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:40:y:2015:i:c:p:246-264

DOI: 10.1016/j.iref.2015.02.013

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2020-02-23
Handle: RePEc:eee:reveco:v:40:y:2015:i:c:p:246-264