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Power generation portfolios: A parametric formulation of the efficient frontier

Juárez-Luna, David

MPRA Paper from University Library of Munich, Germany

Abstract: The Portfolio Theory has been extensively used as a planning tool for power generation diversification. However, no one of the existing papers provide a detailed explanation on how the efficient frontier of the Power Generation Portfolio (PGP) is costructed. We provide a parametric formulation of the efficient frontier of PGP of up to 5 technologies. The analysys takes advantages of the fact that the risk of the PGP is a convex function of the shares of the different technologies. The parametric formulation of the efficient frontier of the PGP constitutes a powerfull policy tool for power generation policy-makers.

Keywords: Portfolio; Power Generation; Efficient Frontier; Risk; NPV. (search for similar items in EconPapers)
JEL-codes: D81 G11 Q40 Q49 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-rmg
Date: 2019-07-02
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https://mpra.ub.uni-muenchen.de/95983/1/MPRA_paper_94814.pdf revised version (application/pdf)

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