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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...
| Call Number: | Libro Electrónico |
|---|---|
| Main Author: | |
| Format: | Electronic eBook |
| Language: | Alemán |
| Published: |
Hamburg, Germany :
Diplomica Verlag,
2013.
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| Series: | Reihe Alternative Investment ;
Band 1 |
| Subjects: | |
| Online Access: | Texto completo |
Table of Contents:
- 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.
- 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.
- 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.