Template-type: ReDIF-Paper 1.0
Author-Name: Gustavo A. Marrero

Author-Workplace-Name: Department of Economics, Universidad de La Laguna, Tenerife, Spain
Author-Name: Luis A. Puch
Author-Email: puch@fedea.es
Author-Person: ppu1
Author-Workplace-Name: Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa) 
	(Department of Foundations of Economic Analysis II (Quantitative Economics)), Facultad de Ciencias 
	Económicas y Empresariales (Faculty of Economics and Business), Universidad Complutense de Madrid 
	(Complutense University of Madrid)
Author-Name: Francisco J. Ramos-Real
Author-Workplace-Name: Department of Economics, Universidad de La Laguna, Tenerife, Spain
Title: Mean-variance portfolio methods for energy policy risk management
Abstract: The risks associated with current and prospective costs of different energy technologies 
	are crucial in assessing the efficiency of the energy mix. However, energy policy 
	typically relies on the evolution of average costs, neglecting the covariances in the costs 
	of the different energy technologies in the mix. Mean-Variance Portfolio Theory is 
	implemented to evaluate jointly the average costs and the associated volatility of 
	alternative energy combinations. In addition systematic and non-systematic risks 
	associated with the energy technologies are computed based on a Capital Asset Pricing 
	Model and considering time varying betas. It is shown that both electricity generation 
	and fuel use imply risks that are idiosyncratic and with relevant implications for energy 
	and environmental policy.
Classification-JEL: G11, G12, Q43.

Keywords: Mean-variance, CAPM model, Energy risks, Energy mix, Energy policy. 
Note: We would like to thank the Guest Editors, Shawkat Hammoudeh and Michael McAleer, the Editor, 
	Hamid Beladi, and a referee for thoughtful comments and suggestions. We also thank Ricardo Guerrero, 
	José Manuel Martínez-Duart and Alfonso Novales for their very helpful comments. Corresponding 
	author: Luis A. Puch, Dto. Economía Cuantitativa, Universidad Complutense de Madrid, 28223 
	Somosaguas, Madrid, Spain. lpuch@ccee.ucm.es 

Length: 34 pages 
Creation-Date: 2013 
Number: 2013-41 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1341.txt
File-URL: https://eprints.ucm.es/id/eprint/24003/1/1341.pdf
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Handle: RePEc:ucm:doicae:1341