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Dynamic Portfolio Optimization for Power Generation Assets

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Operations Research Proceedings 2012

Part of the book series: Operations Research Proceedings ((ORP))

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Abstract

Markowitz’s classical mean-variance approach for portfolio selection considers only single-period investments. It has, therefore, received very little attention in the context of long-term investment planning. Nevertheless, considering dynamic aspects, already Markowitz [12] mentioned the attractiveness of multi-period portfolio selection problems for portfolio readjustments during the planning horizon. The direct application of the mean-variance model to multi-stage portfolio problems, however, causes many difficulties. A number of studies have tackled such difficulties, providing suggestions on how the dynamic aspects of portfolio optimization should be considered. One of these suggestions is a reallocation methodology that is based on scenario analysis and a tree approach [14]. In this paper, we apply this methodology to power generation assets, in order to capture the continuously changing values of the economic as well as technical parameters considered when evaluating investments in power plants.

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Author information

Authors and Affiliations

  1. Institute for Future Energy Consumer Needs and Behavior (FCN), School of Business and Economics / E.ON Energy Research Center, RWTH Aachen University, Mathieustrasse 10, 52074 , Aachen, Germany

    B. Glensk & R. Madlener

Authors
  1. B. Glensk
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  2. R. Madlener
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Corresponding author

Correspondence to B. Glensk .

Editor information

Editors and Affiliations

  1. Institute of Production Management, Leibniz Universität Hannover, Hannover, Germany

    Stefan Helber

  2. Institute for Information Systems Resear, Leibniz Universität Hannover, Hannover, Germany

    Michael Breitner

  3. Institute for Banking and Finance, Leibniz Universität Hannover, Hannover, Germany

    Daniel Rösch

  4. Institute of Production Management, Leibniz Universität Hannover, Hannover, Germany

    Cornelia Schön

  5. Institute for Risk and Insurance, Leibniz Universität Hannover, Hannover, Germany

    Johann-Matthias Graf von der Schulenburg

  6. Institute of Statistics, Leibniz Universität Hannover, Hannover, Germany

    Philipp Sibbertsen

  7. Institute of Applied Mathematics, Leibniz Universität Hannover, Hannover, Germany

    Marc Steinbach

  8. Institute of Probability and Statistics, Leibniz Universität Hannover, Hannover, Germany

    Stefan Weber

  9. Institute of Production Management, Leibniz Universität Hannover, Hannover, Germany

    Anja Wolter

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© 2014 Springer International Publishing Switzerland

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Glensk, B., Madlener, R. (2014). Dynamic Portfolio Optimization for Power Generation Assets. In: Helber, S., et al. Operations Research Proceedings 2012. Operations Research Proceedings. Springer, Cham. https://doi.org/10.1007/978-3-319-00795-3_26

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