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Extension of portfolio theory application to energy planning problem – The Italian case

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Listed:
  • Arnesano, M.
  • Carlucci, A.P.
  • Laforgia, D.

Abstract

Energy procurement is a necessity which needs a deep study of both the demand and the generation sources, referred to consumers territorial localization. The study presented in this paper extends and consolidate the Shimon Awerbuch’s study on portfolio theory applied to the energy planning, in order to define a broad generating mix which optimizes one or more objective functions defined for a determined contest. For this purpose the computation model was specialized in energy generation problem and extended with the addition of new cost-risk settings, like renewable energy availability, and Black–Litterman model, which extends Markowitz theory.

Suggested Citation

  • Arnesano, M. & Carlucci, A.P. & Laforgia, D., 2012. "Extension of portfolio theory application to energy planning problem – The Italian case," Energy, Elsevier, vol. 39(1), pages 112-124.
    • Handle: RePEc:eee:energy:v:39:y:2012:i:1:p:112-124
    DOI: 10.1016/j.energy.2011.06.053
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    References listed on IDEAS

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    1. Awerbuch, Shimon & Yang, Spencer, 2007. "Efficient electricity generating portfolios for Europe: maximising energy security and climate change mitigation," EIB Papers 7/2007, European Investment Bank, Economics Department.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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