- Tytuł:
- Portfolio Analysis on Polish Power Exchange and European Energy Exchange
- Autorzy:
-
Glensk, Barbara
Ganczarek-Gamrot, Alicja
Trzpiot, Grażyna - Powiązania:
- https://bibliotekanauki.pl/articles/578471.pdf
- Data publikacji:
- 2013
- Wydawca:
- Uniwersytet Ekonomiczny w Katowicach
- Tematy:
-
Analiza portfelowa
Analiza wartości zagrożonej
Giełda
Giełda papierów wartościowych Rynek energetyczny
Energy market
Portfolio analysis
Stock exchange
Stock market
Value at Risk Analysis - Opis:
- 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.
- Źródło:
-
Multiple Criteria Decision Making; 2013, 8; 18-30
2084-1531 - Pojawia się w:
- Multiple Criteria Decision Making
- Dostawca treści:
- Biblioteka Nauki
Artykuł