RT Report
T1 Mean-variance portfolio methods for energy policy risk management
A1 Marrero, Gustavo A.
A1 Puch González, Luis Antonio
A1 Ramos-Real, Francisco J.
AB 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.
YR 2013
FD 2013-12
LK https://hdl.handle.net/20.500.14352/41536
UL https://hdl.handle.net/20.500.14352/41536
LA eng
NO Publicado también como artículo: Marrero, Gustavo A.; Puch, Luis A. y Ramos-Real, Francisco J. (2015) Mean-variance portfolio methods for energy policy risk management. International Review of Economics & Finance, 40. pp. 246-264. ISSN 1059-0560,https://doi.org/10.1016/j.iref.2015.02.013
NO Ministerio de Economía y Competitividad (MINECO)
NO Programa UCM - Santander 2014
DS Docta Complutense
RD 5 abr 2025