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Portfolio Selection Under Uncertainty Of Power Generation, Seleccion Bajo Incertidumbre De Portafolios De Generacion Electrica

Author

Listed:
  • Roberto Jose Taboada Gonzalez
  • Gerardo Gabriel Alfaro Calderon
  • Federico Gonzalez Santoyo

Abstract

This paper analyzes the Mexican power plant generation portfolio using the Markowitz portfolio model, to help the planning of electric power generation in the country. It presents the fundamental concepts of Modern Portfolio Theory and the analysis of a case study that uses seven technologies of power generation, with variations in the constraints. The portfolio that results from application of the method proposed in this paper, offers at the same time a reduction in the risk and increase in returns. The goal of this paper is not to substitute any current planning method but to give an additional tool to help in decision making.

Suggested Citation

  • Roberto Jose Taboada Gonzalez & Gerardo Gabriel Alfaro Calderon & Federico Gonzalez Santoyo, 2015. "Portfolio Selection Under Uncertainty Of Power Generation, Seleccion Bajo Incertidumbre De Portafolios De Generacion Electrica," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 8(1), pages 69-78.
    • Handle: RePEc:ibf:riafin:v:8:y:2015:i:1:p:69-78
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    More about this item

    Keywords

    Portfolio; Risk; Uncertainty; Investment; Planning;
    All these keywords.

    JEL classification:

    • G - Financial Economics
    • H8 - Public Economics - - Miscellaneous Issues
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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