| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.21314/JEM.2008.007 |
| An integrated CVaR and real options approach to investments in the energy sector. | |
| Fortin I; Fuss S; Hlouskova J; Khabarov N; Obersteiner M; Szolgayova J | |
| 发表日期 | 2008 |
| 出处 | The Journal of Energy Markets 1 (2): 61-85 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | The objective of this paper is to combine a real options framework with portfolio optimization techniques and to apply this new framework to investments in the electricity sector. In particular, an real options model is used to assess the adoption decision of specific technologies under uncertainty. These technologies are coal-fired power plants, biomass-fired power plants and onshore windmills, and they are representative of technologies based on fossil fuels, biomass and renewables, respectively. The return distributions resulting from this analysis are then used as an input to a portfolio optimization, where the measure of risk is conditional value-at-risk (CVaR).We analyze the dependence of optimal portfolios on risk-return constraints and present a comparison with the more traditional mean-variance approach. |
| 主题 | Forestry (FOR) |
| URL | http://pure.iiasa.ac.at/id/eprint/8598/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/128874 |
| 推荐引用方式 GB/T 7714 | Fortin I,Fuss S,Hlouskova J,et al. An integrated CVaR and real options approach to investments in the energy sector.. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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