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Author Sousa e. Silva, M. ♦ Correia, P.F.
Source IEEE Xplore Digital Library
Content type Text
Publisher Institute of Electrical and Electronics Engineers, Inc. (IEEE)
File Format PDF
Copyright Year ©2008
Language English
Subject Domain (in DDC) Technology ♦ Management & auxiliary services ♦ General management
Subject Keyword Portfolios ♦ Wind speed ♦ Companies ♦ Wind power generation ♦ Electricity ♦ Fuels ♦ Uncertainty ♦ stochastic processes ♦ generation assets ♦ investment decisions ♦ portfolio theory
Abstract Generation companies operating in a competitive market face price and volume risks that affect their return. Being able to identify and quantify these risks for each type of generation asset and how they interact is fundamental when making investment decisions regarding the portfolio of generation assets. This paper proposes a set of tools to support the decision of investment in a portfolio of generation assets, according to portfolio theory. The concept of efficient frontier of risk and return as set in that theory is used to find optimal generation portfolios. Gas-, coal- and fuel- fired as well as hydroelectric and on shore wind power plants are considered. Risk and return are estimated through Monte Carlo simulation of free cash flows. For that effect, exogenous variables such as fuel, electricity and emission prices, wind speeds and water inflows are modeled with stochastic processes. Investment decisions are studied for two perspectives: fixed capital costs allocation and installed capacity allocation. Considering constraints for risk, return and capacity over the efficient Pareto frontier, decisions of buy and/or sell required to achieve optimal generation portfolios are pointed out.
Description Author affiliation: Inst. Super. Tecnico, Tech. Univ. of Lisbon, Lisbon (Sousa e Silva, M.; Correia, P.F.)
ISBN 9781424422883
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research ♦ Reading
Education Level UG and PG
Learning Resource Type Article
Publisher Date 2008-06-28
Publisher Place Portugal
Rights Holder Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Size (in Bytes) 382.52 kB
Page Count 7
Starting Page 1
Ending Page 7


Source: IEEE Xplore Digital Library