Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72703
Authors: 
Fortin, Ines
Fuss, Sabine
Hlouskova, Jaroslava
Khabarov, Nikolay
Obersteiner, Michael
Szolgayova, Jana
Year of Publication: 
2007
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 209
Abstract: 
The objective of this paper is to combine a real options framework with portfolio optimization techniques and to apply this new framework to investments in the electricity sector. In particular, a real options model is used to assess the adoption decision of particular technologies under uncertainty. These technologies are coal-fired power plants, biomassfired power plants and onshore wind mills, and they are representative of technologies based on fossil fuels, biomass and renewables, respectively. The return distributions resulting from this analysis are then used as an input to a portfolio optimization, where the measure of risk is the Conditional Value-at-Risk (CVaR).
Subjects: 
portfolio optimization
CVaR
climate change policy
uncertainty
real options
electricity
investments
JEL: 
C61
D81
D92
G11
Q4
Q56
Q58
Document Type: 
Working Paper

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