Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach

A decision support framework has been provided to assist investors with long-term decision-making for investment choices in power generation assets under uncertain climate policy. The model combines real options analysis and modern portfolio optimization theory. A long-term correlation between carbo...

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Bibliographic Details
Main Authors:	ShahNazari, M., Maybee, Bryan, Whale, J., McHugh, A.
Other Authors:	-
Format:	Conference Paper
Published:	Elsevier Ltd 2015
Subjects:	Electricity generation investment Climate policy uncertainty Real options CVaR portfolio optimization
Online Access:	http://hdl.handle.net/20.500.11937/20902

id	curtin-20.500.11937-20902
recordtype	eprints
spelling	curtin-20.500.11937-209022017-09-13T13:49:38Z Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach ShahNazari, M. Maybee, Bryan Whale, J. McHugh, A. - Electricity generation investment Climate policy uncertainty Real options CVaR portfolio optimization A decision support framework has been provided to assist investors with long-term decision-making for investment choices in power generation assets under uncertain climate policy. The model combines real options analysis and modern portfolio optimization theory. A long-term correlation between carbon and renewable portfolio standard certificate prices is used to model the interaction of climate policies, with a case study being developed to investigate the optimal choice of capacity additions to an existing mix of power generation assets in Australia. The findings show that there is potential for investors to fully hedge their existing fossil fuel based generation assets through the addition of on-shore wind capacity. The model developed allows for (1) the investigation of investment risk and return under uncertain climate policies, and (2) the study of interaction among green policies. 2015 Conference Paper http://hdl.handle.net/20.500.11937/20902 10.1016/j.egypro.2015.07.367 Elsevier Ltd fulltext
repository_type	Digital Repository
institution_category	Local University
institution	Curtin University Malaysia
building	Curtin Institutional Repository
collection	Online Access
topic	Electricity generation investment Climate policy uncertainty Real options CVaR portfolio optimization
spellingShingle	Electricity generation investment Climate policy uncertainty Real options CVaR portfolio optimization ShahNazari, M. Maybee, Bryan Whale, J. McHugh, A. Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach
description	A decision support framework has been provided to assist investors with long-term decision-making for investment choices in power generation assets under uncertain climate policy. The model combines real options analysis and modern portfolio optimization theory. A long-term correlation between carbon and renewable portfolio standard certificate prices is used to model the interaction of climate policies, with a case study being developed to investigate the optimal choice of capacity additions to an existing mix of power generation assets in Australia. The findings show that there is potential for investors to fully hedge their existing fossil fuel based generation assets through the addition of on-shore wind capacity. The model developed allows for (1) the investigation of investment risk and return under uncertain climate policies, and (2) the study of interaction among green policies.
author2	-
author_facet	- ShahNazari, M. Maybee, Bryan Whale, J. McHugh, A.
format	Conference Paper
author	ShahNazari, M. Maybee, Bryan Whale, J. McHugh, A.
author_sort	ShahNazari, M.
title	Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach
title_short	Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach
title_full	Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach
title_fullStr	Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach
title_full_unstemmed	Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach
title_sort	climate policy uncertainty and power generation investments: a real options-cvar portfolio optimization approach
publisher	Elsevier Ltd
publishDate	2015
url	http://hdl.handle.net/20.500.11937/20902
first_indexed	2018-09-06T20:14:00Z
last_indexed	2018-09-06T20:14:00Z
_version_	1610890441066020864

Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach

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