| 来源类型 | Other |
| 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 | 2007 |
| 出处 | Economic Series #209, Institute for Higher Studies, Vienna, Austria (May 2007) |
| 出版年 | 2007 |
| 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, a real options model is used to assess the adoption decision of particular technologies under uncertainty. These technologies are coal-fired power plants, biomass-fired power plants and onshore wind mills, 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 the Conditional Value-at-Risk (CVaR). |
| 主题 | Forestry (FOR) |
| 关键词 | Portfolio optimization CVaR Climate change policy Uncertainty Real options Electricity Investments |
| URL | http://pure.iiasa.ac.at/id/eprint/8317/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/135174 |
| 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.. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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