PL EN


2013 | 8 | 18-30
Article title

Portfolio Analysis on Polish Power Exchange and European Energy Exchange

Content
Title variants
Languages of publication
EN
Abstracts
EN
The aim of this paper is a comparative analysis of contract electric energy portfolios at Polish Power Exchange (POLPX) and European Energy Exchange (EEX) spot markets. The multi-criteria approach proposed in this paper is based on minimization of the Conditional Value at Risk with the confidence level 0.95 and maximization of portfolio rates of return. The analyzed portfolios have been constructed independently for each power exchange (for investors who are interested to invest on one market only), as well as for POLEX and EEX together (for investors who invest on more than one market) with two criteria.
Year
Volume
8
Pages
18-30
Physical description
Contributors
References
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  • Rockafellar R.T., Uryasev S. (2002), Conditional Value-at-Risk for General Loss Distributions, Journal of Banking and Finance, 26(7), p. 1443-1471.
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Document Type
Publication order reference
Identifiers
ISSN
2084-1531
YADDA identifier
bwmeta1.element.desklight-4c160d1d-d5da-4d44-a936-1fddd8e6b0ad
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