Issues in the determination of the optimal portfolio of electricity supply options

Hickey, Emily; Carlson, J. Lon; Loomis, David G.

doi:10.1016/j.enpol.2009.12.006

Cited by 31 publications

(13 citation statements)

References 10 publications

(18 reference statements)

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“…Diversity and dependence present two different paradigms of energy supply security [30] and alongside other propositions [24,27,28], present a straight-forward approach to resource supply security evaluation. It can be argued that dependence has given way to diversity as the dominant security paradigm and that the latter is indeed more fitting for an increasingly interconnected world [10].…”

Section: Methodsologymentioning

confidence: 99%

“…The lack of benchmarking in resilience metrics has been previously identified by Hickey et al (2010) [30] who mentioned that there is no particular range that would indicate satisfactory or insufficient fuel diversity. While no mathematically driven response exists to this issue, we address it by evaluating energy security metrics for all the EU countries.…”

Section: The Case Study Of Eumentioning

confidence: 99%

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Energy supply security in the EU: Benchmarking diversity and dependence of primary energy

2017

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We evaluate energy supply security in all the EU countries. For the first time a proxy indicators for diversity and concentration Shannon Wiener index and Herfindahl-Hirschman index and dependence metrics are used for the detailed primary energy fuel mix of all EU member states. The geographic coverage of this work allows for useful comparisons between countries and for a means of benchmarking against the indices. Overall, it is found that energy supply diversity in the EU has been significantly improved since 1990 by 14.2% (SWI) and 22.6% (HHI). We demonstrate the interrelations between dependence and diversity and the role of renewables on dependence and diversity. Renewable energy, particularly wind, solar and biomass has been the main driver for diversity growth and has a positive contribution to indigenous energy use; thus reducing energy import dependence. We argue that alongside renewable energy there exists a wide range of factors contributing to energy dependence and that renewable energy has had a positive contribution to almost all EU28 country's diversity

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Section: Methodsologymentioning

confidence: 99%

Section: The Case Study Of Eumentioning

confidence: 99%

Energy supply security in the EU: Benchmarking diversity and dependence of primary energy

2017

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“…These works underline the value of MPT as a valid and relevant tool against the uncertainty derived from the lack of knowledge about species invasion dynamics. These authors' approach is the opposite of the one maintained by others like those of References [31,[64][65][66], who point out that, in contexts characterized by ignorance and uncertainty about the analysed assets, using historical data as the only source to develop the MPT model can drive to non-robust results. To solve this pitfall, Hickey et al [31] employed, complementarily to MPT, other tools like diversification indexes or an approach based in real options.…”

Section: Applying Mpt and Capm Beyond Financementioning

confidence: 96%

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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“…The Shannon's Entropy index, also called as Shannon-Wiener Index, is one of several diversity indices used to measure diversity in categorical data. It is simply the information entropy of the distribution, treating species as symbols and their relative population sizes as the probability [36].…”

Section: Entropymentioning

confidence: 99%

Multiobjective portfolio optimization of ARMA–GARCH time series based on experimental designs

Mendes

Paiva

Peruchi

et al. 2016

Computers & Operations Research

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The modern portfolio theory has been trying to determine how an investor might allocate assets among the possible investments options. Since the seminal contribution provided by Harry Markowitz's theory of portfolio selection, several other tools and procedures have been proposed to deal with return-risk trade-off. Furthermore, diversification across sources of returns and risks based on entropy indexes is another pivotal aspect in portfolio management. An efficient approach to model these portfolio properties with the proportion of each asset can be obtained according to mixture design of experiments. Desirability method can be applied to optimize this nonlinear multiobjective problem.Nevertheless, a tuning procedure is required, since preference articulation parameters in desirability algorithm are unknown a priori. As a result, a computer-aided desirability tuning method is proposed to find an optimal portfolio with time series of returns and risks modeled by ARMA-GARCH models.To assess the proposal feasibility, the method is tested with a heteroskedastic dataset formed by weekly world crude oil spot prices and returns. Computer-aided desirability tuning was able to enhance the global desirability by 79% in relation to the result with no tuning procedure.

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Issues in the determination of the optimal portfolio of electricity supply options

Cited by 31 publications

References 10 publications

Energy supply security in the EU: Benchmarking diversity and dependence of primary energy

Energy supply security in the EU: Benchmarking diversity and dependence of primary energy

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

Multiobjective portfolio optimization of ARMA–GARCH time series based on experimental designs

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