Fuzzy Portfolio Optimization of Onshore Wind Power Plants
In this paper we apply fuzzy set theory to the portfolio optimization of power generation assets, using a semi-mean absolute deviation (SMAD) model as a benchmark and a fuzzy semi-mean absolute deviation (FSMAD) model for comparison. The two models are applied to five onshore wind power plants in Germany considered for the portfolio analysis. The results show that the combinations of favorable assets for efficient portfolios are very similar, although the portfolio shares are markedly different. Also, the return and risk span of the SMAD model are much broader than those of the FSMAD model. The highest returns are generated by portfolios based on the latter model. Offering less portfolio choices, the FSMAD model thus facilitates decision-making. This is in compliance with the notion that portfolio optimization by fuzzy set theory is able to better account for the decision-maker’s preferences under real-world conditions.
|Date of creation:||May 2011|
|Date of revision:||Jul 2014|
|Note:||Revised July 2014|
|Contact details of provider:|| Web page: http://www.eonerc.rwth-aachen.de/fcn|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Leon, T. & Liern, V. & Vercher, E., 2002. "Viability of infeasible portfolio selection problems: A fuzzy approach," European Journal of Operational Research, Elsevier, vol. 139(1), pages 178-189, May.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- Roques, Fabien & Hiroux, Céline & Saguan, Marcelo, 2010.
"Optimal wind power deployment in Europe--A portfolio approach,"
Elsevier, vol. 38(7), pages 3245-3256, July.
- Fabien Roques & Céline Hiroux & Marcelo Saguan, 2009. "Optimal Wind Power Deployment in Europe - a Portfolio Approach," RSCAS Working Papers 2009/17, European University Institute.
- Boris Krey & Peter Zweifel, 2006. "Efficient Electricity Portfolios for Switzerland and the United States," SOI - Working Papers 0602, Socioeconomic Institute - University of Zurich.
- Srichander Ramaswamy, 1998. "Portfolio selection using fuzzy decision theory," BIS Working Papers 59, Bank for International Settlements.
- Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
- Yusif Simaan, 1997. "Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model," Management Science, INFORMS, vol. 43(10), pages 1437-1446, October.
- Himpler, Sebastian & Madlener, Reinhard, 2011. "Repowering of Wind Turbines: Economics and Optimal Timing," FCN Working Papers 19/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
- Glensk, Barbara & Madlener, Reinhard, 2010. "Fuzzy Portfolio Optimization for Power Generation Assets," FCN Working Papers 10/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
- Bar-Lev, Dan & Katz, Steven, 1976. "A Portfolio Approach to Fossil Fuel Procurement in the Electric Utility Industry," Journal of Finance, American Finance Association, vol. 31(3), pages 933-47, June.
- R. E. Bellman & L. A. Zadeh, 1970. "Decision-Making in a Fuzzy Environment," Management Science, INFORMS, vol. 17(4), pages B141-B164, December.
When requesting a correction, please mention this item's handle: RePEc:ris:fcnwpa:2011_010. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Hendrik Schmitz)
If references are entirely missing, you can add them using this form.