Portfolio optimisation of power futures market: Evidence from France and Germany

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Portfolio optimisation of power futures market : Evidence from France and Germany. / Fianu, Emmanuel Senyo.

in: International Journal of Public Policy, Jahrgang 14, Nr. 1-2, 2018, S. 120-144.

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

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@article{4ed3d54c40944f30b96de6dbc4cd85d3,
title = "Portfolio optimisation of power futures market: Evidence from France and Germany",
abstract = "Understanding the nature of power futures is particularly crucial, for non-storable commodities such as wholesale electricity since it has been deregulated. This paper examines different types of optimisation techniques and provides a temporal analysis of energy future prices. In particular, it highlights how one of the well-known elements of modern finance theory could improve the accuracy of evaluating the risk exposure inherent in power futures market via a modified version of the mean-variance portfolio (MVP) theory. The optimisation techniques employed account for the initial capital requirement of the energy futures and estimate the optimal weights needed to mitigate the downside risk inherent in the energy futures market. One major finding of this paper shows that, a portfolio of energy prices with different maturities could provide market players with a less risky investment in the energy market. In addition, the feasibility of the methodologies utilised have been presented.",
keywords = "Electricity futures, Energy markets, Investment risk management, Portfolio optimisation, Portfolio theory, Sustainability Science, Economics",
author = "Fianu, {Emmanuel Senyo}",
year = "2018",
doi = "10.1504/IJPP.2018.090690",
language = "English",
volume = "14",
pages = "120--144",
journal = "International Journal of Public Policy",
issn = "1740-0600",
publisher = "Inderscience Enterprises Ltd",
number = "1-2",

}

RIS

TY - JOUR

T1 - Portfolio optimisation of power futures market

T2 - Evidence from France and Germany

AU - Fianu, Emmanuel Senyo

PY - 2018

Y1 - 2018

N2 - Understanding the nature of power futures is particularly crucial, for non-storable commodities such as wholesale electricity since it has been deregulated. This paper examines different types of optimisation techniques and provides a temporal analysis of energy future prices. In particular, it highlights how one of the well-known elements of modern finance theory could improve the accuracy of evaluating the risk exposure inherent in power futures market via a modified version of the mean-variance portfolio (MVP) theory. The optimisation techniques employed account for the initial capital requirement of the energy futures and estimate the optimal weights needed to mitigate the downside risk inherent in the energy futures market. One major finding of this paper shows that, a portfolio of energy prices with different maturities could provide market players with a less risky investment in the energy market. In addition, the feasibility of the methodologies utilised have been presented.

AB - Understanding the nature of power futures is particularly crucial, for non-storable commodities such as wholesale electricity since it has been deregulated. This paper examines different types of optimisation techniques and provides a temporal analysis of energy future prices. In particular, it highlights how one of the well-known elements of modern finance theory could improve the accuracy of evaluating the risk exposure inherent in power futures market via a modified version of the mean-variance portfolio (MVP) theory. The optimisation techniques employed account for the initial capital requirement of the energy futures and estimate the optimal weights needed to mitigate the downside risk inherent in the energy futures market. One major finding of this paper shows that, a portfolio of energy prices with different maturities could provide market players with a less risky investment in the energy market. In addition, the feasibility of the methodologies utilised have been presented.

KW - Electricity futures

KW - Energy markets

KW - Investment risk management

KW - Portfolio optimisation

KW - Portfolio theory

KW - Sustainability Science

KW - Economics

UR - http://www.scopus.com/inward/record.url?scp=85045017723&partnerID=8YFLogxK

U2 - 10.1504/IJPP.2018.090690

DO - 10.1504/IJPP.2018.090690

M3 - Journal articles

AN - SCOPUS:85045017723

VL - 14

SP - 120

EP - 144

JO - International Journal of Public Policy

JF - International Journal of Public Policy

SN - 1740-0600

IS - 1-2

ER -

DOI