Portfolio Analysis on Polish Power Exchange and European Energy Exchange

• Authors: Barbara Glensk , Alicja Ganczarek-Gamrot , Grażyna Trzpiot
• 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.

Keywords

EN

Energy market; Portfolio analysis; Stock exchange; Stock market; Value at Risk Analysis

PL

Analiza portfelowa; Analiza wartości zagrożonej; Giełda; Giełda papierów wartościowych Rynek energetyczny

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Multiple Criteria Decision Making
• Year: 2013
• Volume: 8
• Pages: 18-30

Contributors

author

Barbara Glensk

author

Alicja Ganczarek-Gamrot

author

Grażyna Trzpiot

References

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Identifiers

ISSN

2084-1531