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Windfall profit in portfolio diversification? : an empirical analysis of the potential benefits of renewable energy investments /

Modern Portfolio Theory is a theory which was introduced by Markowitz, and which suggests the building of a portfolio with assets that have low or, in the best case, negative correlation. In times of financial crises, however, the positive diversification effect of a portfolio can fail when Traditio...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Bruns, Frederik (Autor)
Formato: Electrónico eBook
Idioma:Alemán
Publicado: Hamburg, Germany : Diplomica Verlag, 2013.
Colección:Reihe Alternative Investment ; Band 1
Temas:
Acceso en línea:Texto completo

MARC

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245 1 0 |a Windfall profit in portfolio diversification? :  |b an empirical analysis of the potential benefits of renewable energy investments /  |c Frederik Bruns. 
264 1 |a Hamburg, Germany :  |b Diplomica Verlag,  |c 2013. 
264 4 |c ©2013 
300 |a 1 online resource (108 pages) :  |b illustrations 
336 |a text  |b txt  |2 rdacontent 
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490 0 |a Reihe Alternative Investment ;  |v Band 1 
504 |a Includes bibliographical references. 
588 0 |a Online resource; title from PDF cover (ebrary, viewed April 2, 2014). 
505 0 |a Windfall Profit inPortfolio Diversification?; Table of contents; List of abbreviations; List of figures; List of tables; 1 Introduction and literature overview; 2 Renewable Energy as an Alternative Asset class; 2.1 Classification; 2.1 Main characteristics; 2.3 Investors; 3 Modern Portfolio Theory; 3.1 Mean-variance framework; 3.2 Estimating correlation structures; 3.3 Optimal portfolios with investor liabilities; 4 Application to Renewable Energy investments; 4.1 Return distributions; 4.2 Diversification possibilities; 4.3 Discussion of the asset-only perspective; 4.4 Liability hedging credit. 
505 8 |a 5 Empirical analysis5.1 Data; 5.2 Statistical analysis; 5.3 Empirical results; 6 Conclusion and outlook; Appendix; Appendix A: Renewable Energy instruments and remuneration; Appendix B: Discussion of the holding period return measure; Appendix C: Structure of the income statement for a wind farm; Appendix D: Empirical distributions of the wind farms; Appendix E: Proxy indices and discussion of the asset classes; Appendix F: Empirical distributions and autocorrelation of the asset classes; Appendix G: Value at Risk and Conditional Value at Risk. 
505 8 |a Appendix H: Calculation of the optimal portfolios in themulti-asset frameworkAppendix I: Regressions for the wind portfolio; Appendix J: Security Market Line of the single-index model for wind; References. 
520 |a Modern Portfolio Theory is a theory which was introduced by Markowitz, and which suggests the building of a portfolio with assets that have low or, in the best case, negative correlation. In times of financial crises, however, the positive diversification effect of a portfolio can fail when Traditional Assets are highly correlated. Therefore, many investors search for Alternative Asset classes, such as Renewable Energies, that tend to perform independently from capital market performance. 'Windfall Profit in Portfolio Diversification?' discusses the potential role of Renewable Energy inves. 
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650 0 |a Portfolio management. 
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650 6 |a Gestion de portefeuille. 
650 6 |a Marché financier. 
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650 7 |a Portfolio management  |2 fast 
776 0 8 |i Print version:  |a Bruns, Frederik.  |t Windfall profit in portfolio diversification? : an empirical analysis of the potential benefits of renewable energy investments.  |d Hamburg, Germany : Diplomica Verlag, ©2013  |h 104 pages  |k Reihe Alternative Investment ; Band 1  |z 9783842887992 
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