RISK AND RETURNS ON POLISH POWER EXCHANGE AND EUROPEAN ENERGY EXCHANGE
RISK AND RETURNS ON POLISH POWER EXCHANGE AND EUROPEAN ENERGY EXCHANGE
Author(s): Grażyna Trzpiot, Barbara Glensk, Alicja Ganczarek-GamrotSubject(s): Economy
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: risk; portfolio; electric energy market
Summary/Abstract: The aim of this paper is a comparative analysis of contracts on electric energy at Polish Power Exchange (POLPX) and European Energy Exchange (EEX) spot markets. The approach considered in this article is based on minimization of the Conditional Value at Risk and maximization of portfolio rates of return. The analyzed portfolios were constructed with contracts noted on POLEX and EEX from 1st January 2011 to 31st December 2012.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XV/2014
- Issue No: 1
- Page Range: 183-191
- Page Count: 9
- Language: English
