Windfall Profit in Portfolio Diversification? : An Empirical Analysis of the Potential Benefits of Renewable Energy Investments.
Title:
Windfall Profit in Portfolio Diversification? : An Empirical Analysis of the Potential Benefits of Renewable Energy Investments.
Author:
Bruns, Frederik.
ISBN:
9783842837997
Personal Author:
Edition:
1st ed.
Physical Description:
1 online resource (108 pages)
Contents:
Windfall Profit inPortfolio 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 autocorrelation of the asset classes -- Appendix G: Value at Risk and Conditional Value at Risk -- Appendix H: Calculation of the optimal portfolios in themulti-asset framework -- Appendix I: Regressions for the wind portfolio -- Appendix J: Security Market Line of the single-index model for wind -- References.
Abstract:
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 investments in an institutional investor's portfolio by applying the main concepts from Modern Portfolio Theory. Thereby, the empirical analysis uses a unique data set from one of the largest institutional investors in the field of Renewable Energies, including several wind and solar parks. The study received the Science Award 2012 of the German Alternative Investments Association ('Bundesverband Alternative Investments e.V.'). Biographische Informationen Frederik Bruns, M.Sc, was born in Stuttgart, Germany in 1987. He has a Bachelor's degree in Political Economics from the University of Heidelberg, and he started a Master's program in Economics at the University of Bonn where he has a major in finance. The author was part in an international exchange program with New York University. There, his knowledge in financial markets and portfolio theory was further developed for he attended courses at the Finance Department of NYU Stern School of Business. During his studies, the author completed several internships in multinational companies, research institutions and political organizations in Germany, the U.S. and Hong Kong. Now, he is working as a Financial Analyst in the Renewable Energy division of Allianz Capital Partners in London.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
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