Review of selected methods for portfolio optimization of and irreversible investment in power generation assets under uncertainty

• Authors: Barbara Glensk , Reinhard Madlener

Title variants

PL

Przegląd wybranych metod optymalizacji portfela i podejmowania nieodwracalnych decyzji w sektorze energetycznym w warunkach niepewności

• Languages of publication: EN

Abstracts

EN

In this paper, we present some examples to illustrate the use of selected financial methods for the portfolio optimization of power generation assets. We start with classical MV theory, followed by dynamic variants to MV portfolio optimization, and eventually how fuzzy set theory can be used in portfolio optimization of power generation assets. In light of the ongoing liberalization process of the energy markets, and the risks and uncertainties created by rising shares of renewable electricity in the spot market, we present real option model specifications that can be used by energy companies to run these assets profitably and to make rational new investments in conventional power plants. Such models can help to determine the optimal timing to invest (or disinvest) in power plants, and can thus be powerful and useful tools for decision-makers.

PL

W niniejszym artykule zostały zaprezentowane przykłady zastosowań wybranych metod optymalizacyjnych portfeli na rynku energetycznym, takich jak klasyczna teoria portfela Markowitza, dynamiczne ujęcie optymalizacji portfela czy wykorzystanie teorii zbiorów rozmytych do tworzenia portfeli. W świetle liberalizacji rynku energetycznego, jak również wzrastającego ryzyka związanego z coraz większym udziałem odnawialnych źródeł energii w procesie generowania energii, autorzy artykułu proponują także zastosowanie teorii opcji realnych w procesie decyzyjnym. Modele opcji realnych pozwalają, między innymi, na określenie optymalnego terminu realizacji inwestycji (czy też dezinwestycji) i mogą służyć jako alternatywna metoda w procesie podejmowania decyzji.

Keywords

EN

Fuzzy set theory; Portfolio optimization; Real options analysis

PL

Analiza opcji realnych; Optymalizacja portfela; Teoria zbiorów rozmytych

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2015
• Volume: 247
• Pages: 20-42

Contributors

author

Barbara Glensk

author

Reinhard Madlener

References

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Identifiers

ISSN

2083-8611