Financial optimization in the Turkish electricity market: Markowitz's mean-variance approach

Gökgöz, Fazıl; Atmaca, Mete Emin

doi:10.1016/j.rser.2011.06.018

Cited by 56 publications

(16 citation statements)

References 12 publications

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“…The portfolio optimization approach can be classified inside risk-control management [60] and focuses on minimizing the portfolio risk by its diversification [16,19,60,61]. A significant number of works in the literature support the conclusion that it is a proven methodology for its application to energy planning [16,17] and for optimizing the operation of demand response resources [62].…”

Section: Applying Mpt and Capm Beyond Financementioning

confidence: 99%

Assessing Renewable Energy Sources for Electricity (RES-E) Potential Using a CAPM-Analogous Multi-Stage Model

et al. 2019

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Carbon mitigation is a major aim of the power-generation regulation. Renewable energy sources for electricity are essential to design a future low-carbon mix. In this work, financial Modern Portfolio Theory (MPT) is implemented to optimize the power-generation technologies portfolio. We include technological and environmental restrictions in the model. The optimization is carried out in two stages. Firstly, we minimize the cost and risk of the generation portfolio, and afterwards, we minimize its emission factor and risk. By combining these two results, we are able to draw an area which can be considered analogous to the Capital Market Line (CML) used by the Capital Asset Pricing model (CAPM). This area delimits the set of long-term power-generation portfolios that can be selected to achieve a progressive decarbonisation of the mix. This work confirms the relevant role of small hydro, offshore wind, and large hydro as preferential technologies in efficient portfolios. It is necessary to include all available renewable technologies in order to reduce the cost and the risk of the portfolio, benefiting from the diversification effect. Additionally, carbon capture and storage technologies must be available and deployed if fossil fuel technologies remain in the portfolio in a low-carbon approach.

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Section: Applying Mpt and Capm Beyond Financementioning

confidence: 99%

Assessing Renewable Energy Sources for Electricity (RES-E) Potential Using a CAPM-Analogous Multi-Stage Model

et al. 2019

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“…Instead, investors are required to take into consideration the correlation between the various assets (Kisaka et al, 2015). In other words, investors should allocate their wealth among securities that are not highly correlated so that events such as changes in business cycles and macroeconomic conditions, they can benefit from the diversification (Gökgöz and Atmaca, 2012). …”

Section: Literature Reviewmentioning

confidence: 99%

Asset Allocation Brewed Accross African Stock Markets

Mensah¹

2016

Proceedings of the 5th Economic &Amp; Finance Conference, Miami

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“…2050 about 18 GW of existing solid fuel-fired units will have to be decommissioned 8,9 . The future role of coal in power generation will depend on the direction of development of the Polish power industry, the chosen priorities, and selected fuel types.…”

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confidence: 99%

The Impact of Coal Mining Reduction on the Energy Mix of Poland

Gawlik¹,

Kryzia²,

Pepłowska³

2017

HSS

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The article is aimed at assessing the impact of reducing coal mining on the energy mix of Poland. Taking into account the current economic situation in the mining industry and its key role in the raw material economy of the country, the authors have attempted to assess the impact of the reduction the size or abandoning the production of hard coal mining in Poland on the situation in domestic energy sector and to present some of the resulting consequences. It is important that the share of coal in the national energy mix decreases each year, mainly in favor of natural gas and renewable energy sources. The wind power share in energy systems is increasing each year. This situation takes place both worldwide and in Poland. This development is a result of introducing requirements dictated by the conduct of climate policy. The energy solutions, which have a positive impact on the environment and climate change are mainly supported. However, it should be noted that in 2015 more than 50% of electricity was generated from burning hard coal in power generation plants. The vast majority of Polish power plants are hard coal fired power plants. A much smaller number are power plants powered by another type of fuel, including power plants powered by renewable energy sources. Currently, new capacities based on this fuel, i.e.: Kozienice, Jaworzno, and Opole power plants, are being built. The abovementioned conditions and the results of detailed analysis indicate that hard coal will continue to be used in Poland for many years.

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Financial optimization in the Turkish electricity market: Markowitz's mean-variance approach

Cited by 56 publications

References 12 publications

Assessing Renewable Energy Sources for Electricity (RES-E) Potential Using a CAPM-Analogous Multi-Stage Model

Assessing Renewable Energy Sources for Electricity (RES-E) Potential Using a CAPM-Analogous Multi-Stage Model

Asset Allocation Brewed Accross African Stock Markets

The Impact of Coal Mining Reduction on the Energy Mix of Poland

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