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Power generation portfolios: A parametric formulation of the efficient frontier

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  • Juárez-Luna, David

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.

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  • Juárez-Luna, David, 2019. "Power generation portfolios: A parametric formulation of the efficient frontier," MPRA Paper 94814, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:94814
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    Cited by:

    1. Juárez-Luna, David, 2020. "Beneficios económicos y ambientales de la energía nuclear [Economic and environmental benefits of nuclear energy]," MPRA Paper 98790, University Library of Munich, Germany.

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    More about this item

    Keywords

    Portfolio; Power Generation; Efficient Frontier; Risk; NPV.;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other

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