Windfall profit in portfolio diversification? : an empirical analysis of the potential benefits of renewable energy investments / Frederik Bruns.

Format:

Book

Author/Creator:

Bruns, Frederik, author.

Series:

Reihe Alternative Investment ; Band 1

Language:

English

Subjects (All):

Investments.

Portfolio management.

Capital market.

Physical Description:

1 online resource (108 p.)

Edition:

1st ed.

Place of Publication:

Hamburg, Germany : Diplomica Verlag, 2013.

Language Note:

English

Summary:

Modern Portfolio Theory is a theory which was introduced by Markowitz, and which suggests the building of a portfolio with assets that have low or, in the best case, negative correlation. In times of financial crises, however, the positive diversification effect of a portfolio can fail when Traditional Assets are highly correlated. Therefore, many investors search for Alternative Asset classes, such as Renewable Energies, that tend to perform independently from capital market performance. 'Windfall Profit in Portfolio Diversification?' discusses the potential role of Renewable Energy

Contents:

Windfall Profit in Portfolio Diversification?; Table of contents; List of abbreviations; List of figures; List of tables; 1 Introduction and literature overview; 2 Renewable Energy as an Alternative Asset class; 2.1 Classification; 2.1 Main characteristics; 2.3 Investors; 3 Modern Portfolio Theory; 3.1 Mean-variance framework; 3.2 Estimating correlation structures; 3.3 Optimal portfolios with investor liabilities; 4 Application to Renewable Energy investments; 4.1 Return distributions; 4.2 Diversification possibilities; 4.3 Discussion of the asset-only perspective; 4.4 Liability hedging credit

5 Empirical analysis 5.1 Data; 5.2 Statistical analysis; 5.3 Empirical results; 6 Conclusion and outlook; Appendix; Appendix A: Renewable Energy instruments and remuneration; Appendix B: Discussion of the holding period return measure; Appendix C: Structure of the income statement for a wind farm; Appendix D: Empirical distributions of the wind farms; Appendix E: Proxy indices and discussion of the asset classes; Appendix F: Empirical distributions and auto correlation of the asset classes; Appendix G: Value at Risk and Conditional Value at Risk

Appendix H: Calculation of the optimal portfolios in the multi-asset framework Appendix I: Regressions for the wind portfolio; Appendix J: Security Market Line of the single-index model for wind; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF cover (ebrary, viewed April 2, 2014).

ISBN:

9783842837997

3842837992

OCLC:

867931203