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Diversifying portfolios of U.S. stocks with crude oil and natural gas : a regime-dependent optimization with several risk measures
Gatfaoui, Hayette - In: Energy economics 80 (2019), pp. 132-152
Persistent link: https://www.econbiz.de/10012172340
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Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management
Ignatieva, Ekaterina - 2012
Persistent link: https://www.econbiz.de/10009548356
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Valuing fuel diversification in optimal investment policies for electricity generation portfolios
Sunderkoetter, Malte; Weber, Christoph - 2009
-Variance Portfolio (MVP) theory provides a consistent framework to valuate financial risks in power generation portfolios that allows to … peak-load pricing and MVP theory to derive optimal portfolios consisting of an arbitrary number of plant technologies given … understanding of the optimal investment policy and its risk characteristics compared to existing numerical methods. Furthermore, we …
Persistent link: https://www.econbiz.de/10010425868
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Design of power purchase under transmission congestion
Gurgur, Cigdem Z.; Newes, Emily K. - In: International journal of energy sector management : IJESM 6 (2012) 1, pp. 50-64
Persistent link: https://www.econbiz.de/10009550204
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Optimierung eines Portfolios mit hydro-thermischem Kraftwerkspark im börslichen Strom- und Gasterminmarkt
Bagemihl, Joachim (contributor) - 2003
Persistent link: https://www.econbiz.de/10001793208
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Can BRICS's currency be a hedge or a safe haven for energy portfolio? : an evidence from vine copula approach
He, Yijin; Nakajima, Tadahiro; Hamori, Shigeyuki - In: The Singapore economic review : journal of the Economic … 65 (2020) 4, pp. 805-836
Persistent link: https://www.econbiz.de/10012509267
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Mean-variance optimization of power generation portfolios under uncertainty in the merit order
Sunderkötter, Malte; Weber, Christoph - 2011
available for serving system demand. While the classical peak load pricing theory derives the efficient portfolio structure from …-variance portfolio (MVP) theory and analytically discuss possible solution cases and important optimality properties. We examine the … significantly impacted by a risk for reversals in the merit order. Therefore, our findings support the importance of considering …
Persistent link: https://www.econbiz.de/10010429439
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Anlage- und Portfolioeigenschaften von Commodities am Beispiel des GSCI
Rudolf, Markus - In: Finanzmarkt und Portfolio-Management 7 (1993) 3, pp. 339-359
Persistent link: https://www.econbiz.de/10001219147
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Basis risk : an expository note
Banks, Ferdinand E. - In: OPEC review : energy economics and related issues 23 (1999) 3, pp. 265-272
Persistent link: https://www.econbiz.de/10001411519
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Does Bitcoin hedge commodity uncertainty?
Hoang, Khanh; Nguyen, Cuong; Poch, Kongchheng; Nguyen, … - In: Journal of risk and financial management : JRFM 13 (2020) 6/119, pp. 1-14
This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013-Jun. 2018, using time- and frequency-domain frameworks. The time-domain framework's results show that the connectedness is 23.49%, indicating a low level...
Persistent link: https://www.econbiz.de/10012305145