Risk-Return Incentives in Liberalised Electricity Markets
AbstractWe employ Monte Carlo analysis to determine the distribution of returns for various electricity generation technologies. Costs and revenues for each technology are arrived by means of a sophisticated unit commitment and economic dispatch algorithm. The results show that small amounts of coal investment along with high investment in advanced CCGT can reduce the risk of baseload-only portfolios, while flexible generation technologies appear on the efficient frontier when all technology types are considered. Diversification incentives regarding operational considerations dominate over incentives to diversify between fuel types
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Bibliographic InfoPaper provided by Department of Economics, University of Sussex in its series Working Paper Series with number 4012.
Date of creation: Oct 2012
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Power generation; mean-variance portfolio;
Other versions of this item:
- Lynch, Muireann Á. & Shortt, Aonghus & Tol, Richard S.J. & O'Malley, Mark J., 2013. "Risk–return incentives in liberalised electricity markets," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 598-608.
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-05-11 (All new papers)
- NEP-CMP-2013-05-11 (Computational Economics)
- NEP-ENE-2013-05-11 (Energy Economics)
- NEP-REG-2013-05-11 (Regulation)
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