In principle, portfolio optimization in electricity markets can make use of the standard mean-variance model going back to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model has to be adapted to cope with limited liquidity. An...

Bottom-up optimization models neglect the inclusion of investment behavior We introduce three investor types that differ in their investment cost specifications, financing costs, and discounting. This leads to a substantially different pace and rate of adoption for specific generation...

In principle, portfolio optimization in electricity markets can make use of the standard mean‐variance model going back to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model has to be adapted to cope with limited liquidity. An...

Mitigating climate change will require innovation in energy technologies. Policy makers are faced with the question of how to promote this innovation, and whether to focus on a few technologies or to spread their bets. We present results on the extent to which public R&D might shape the future...

The electricity generation mix of many European countries is strongly dominated by fossil fuelled power plants. Given that CO2-emissions are responsible for a major part of the anthropogenic greenhouse effect, emission trading has been introduced in the EU in 2005. Under the European emissions...

I examine energy stocks in the context of a diversified investment portfolio. Several factors – the importance of the energy sector, their potential to hedge energy risks, growing interest in real assets, as well as anecdotes of sophisticated investors focusing on energy investments –...

This paper taps into the use of energy sector based portfolios, as opposed to the traditional equity based portfolios. Key contributions are in terms of assessing (i) which U.S. sectors are best to combine with the energy sector, (ii) how a sector based portfolio's risk and return differ from an...

In this paper we utilise the risk factors from both the finance and energy economics literatures to develop an improved asset pricing model (the Augmented-Four-Factor Model or AFFM) in the context of the European energy utility sector. In addition, we undertake inter-sectoral and inter-temporal...

Currencies play an important role in facilitating trade and economic growth. Shifts in currency values may lead to economic dislocations hindering trade and growth. Most currencies are issued by government central banks. These central banks hold assets in the form of government debt and gold...