MCDM'13 - paper no. 2


 

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PORTFOLIO ANALYSIS ON POLISH POWER EXCHANGE AND EUROPEAN ENERGY EXCHANGE

Barbara Glensk, Alicja Ganczarek-Gamrot, Grażyna Trzpiot

Abstract:

The aim of this paper is a comparative analysis of contract electric energy portfolios at Polish Power Exchange (POLPX) and European Energy Exchange (EEX) spot markets. The multi-criteria approach proposed in this paper is based on minimization of the Conditional Value at Risk with the confidence level 0.95 and maximization of portfolio rates of return. The analyzed portfolios have been constructed independently for each power exchange (for investors who are interested to invest on one market only), as well as for POLEX and EEX together (for investors who invest on more than one market) with two criteria.

Keywords:

Portfolio analysis, Conditional Value at Risk (CVaR), electric energy spot markets

Reference index:

Barbara Glensk, Alicja Ganczarek-Gamrot, Grażyna Trzpiot, (2013), PORTFOLIO ANALYSIS ON POLISH POWER EXCHANGE AND EUROPEAN ENERGY EXCHANGE, Multiple Criteria Decision Making (8), pp. 18-30

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