Show simple item record

dc.contributor.authorShahNazari, M.
dc.contributor.authorMaybee, Bryan
dc.contributor.authorWhale, J.
dc.contributor.authorMcHugh, A.
dc.contributor.editor-
dc.date.accessioned2017-01-30T12:21:56Z
dc.date.available2017-01-30T12:21:56Z
dc.date.created2015-09-22T20:01:37Z
dc.date.issued2015
dc.identifier.citationShahNazari, M. and Maybee, B. and Whale, J. and McHugh, A. 2015. Climate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach, in 7th International Conference on Applied Energy – ICAE2015, Mar 28 2015, pp. 2649-2657. Abu Dhabi, United Arab Emirates: Elsevier.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/20902
dc.identifier.doi10.1016/j.egypro.2015.07.367
dc.description.abstract

A decision support framework has been provided to assist investors with long-term decision-making for investment choices in power generation assets under uncertain climate policy. The model combines real options analysis and modern portfolio optimization theory. A long-term correlation between carbon and renewable portfolio standard certificate prices is used to model the interaction of climate policies, with a case study being developed to investigate the optimal choice of capacity additions to an existing mix of power generation assets in Australia. The findings show that there is potential for investors to fully hedge their existing fossil fuel based generation assets through the addition of on-shore wind capacity. The model developed allows for (1) the investigation of investment risk and return under uncertain climate policies, and (2) the study of interaction among green policies.

dc.publisherElsevier Ltd
dc.subjectElectricity generation investment
dc.subjectClimate policy uncertainty
dc.subjectReal options
dc.subjectCVaR portfolio optimization
dc.titleClimate policy uncertainty and power generation investments: A real options-CVaR portfolio optimization approach
dc.typeConference Paper
dcterms.source.startPage2649
dcterms.source.endPage2657
dcterms.source.titleThe 7th International Conference on Applied Energy – ICAE2015
dcterms.source.seriesThe 7th International Conference on Applied Energy – ICAE2015
dcterms.source.conferenceThe 7th International Conference on Applied Energy – ICAE2015
dcterms.source.conference-start-dateMar 28 2015
dcterms.source.conferencelocationAbu Dhabi, United Arab Emirates
dcterms.source.place-
curtin.note

This open access article is distributed under the Creative Commons license http://creativecommons.org/licenses/by-nc-nd/4.0/

curtin.departmentCurtin Graduate School of Business
curtin.accessStatusOpen access


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record