UID:
almafu_9958115502102883
Format:
1 online resource (108 p.)
Edition:
1st ed.
ISBN:
3-8428-3799-2
Series Statement:
Reihe Alternative Investment ; Band 1
Content:
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
Note:
Description based upon print version of record.
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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
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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
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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
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English
Additional Edition:
ISBN 3-8428-8799-X
Language:
English
Keywords:
Electronic books.
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