RISK AND RETURNS ON POLISH POWER EXCHANGE AND EUROPEAN ENERGY EXCHANGE

• Authors: Grażyna Trzpiot , Barbara Glensk , Alicja Ganczarek-Gamrot
• Languages of publication: EN

Abstracts

EN

The aim of this paper is a comparative analysis of contracts on electric energy at Polish Power Exchange (POLPX) and European Energy Exchange (EEX) spot markets. The approach considered in this article is based on minimization of the Conditional Value at Risk and maximization of portfolio rates of return. The analyzed portfolios were constructed with contracts noted on POLEX and EEX from 1st January 2011 to 31st December 2012.

Keywords

EN

risk; portfolio; electric energy market

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 1
• Pages: 183-191

Dates

published

2014

Contributors

author

Grażyna Trzpiot

• Katedra Demografii i Statystyki Ekonomicznej, Uniwersytet Ekonomiczny w Katowicach

author

Barbara Glensk

• Institute for Future Energy Consumer Needs and Behavior, E.ON Energy Research Center, RWTH Aachen University

author

Alicja Ganczarek-Gamrot

• Katedra Demografii i Statystyki Ekonomicznej, Uniwersytet Ekonomiczny w Katowicach

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