Mean-variance portfolio methods for energy policy risk management
Gustavo Marrero (),
Luis Puch () and
Francisco Ramos-Real ()
No 2013-41, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico
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.
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)
Pages: 34 pages
Note: 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. email@example.com
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Journal Article: Mean-variance portfolio methods for energy policy risk management (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ucm:doicae:1341
Ordering information: This working paper can be ordered from
Facultad de Ciencias Económicas y Empresariales. Pabellón prefabricado, 1ª Planta, ala norte. Campus de Somosaguas, 28223 - POZUELO DE ALARCÓN (MADRID)
https://www.ucm.es/f ... -de-trabajo-del-icae
Access Statistics for this paper
More papers in Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Contact information at EDIRC.
Bibliographic data for series maintained by Águeda González Abad ().