Efficient Investment Portfolios for the Swiss Electricity Supply Sector

摘要: In this paper, we investigate existing and possible future power generation capacities in Switzerland from a risk-return perspective, using the Mean-Variance Portfolio Theory of Markowitz (1952). The study covers technologies currently operation, such as nuclear power, storage hydro run-of-river plants, two new renewable energy (photovoltaics wind). Additionally, natural gas combined cycle (NGCC) technology, extension to current Swiss portfolio, is assessed. technology-specific risks considered include electricity spot market price, production capacity reliability, fuel cost, funding liabilities, operation maintenance outlays. These factors are implemented Net Present Value (NPV) model Monte Carlo simulations applied assess each investment alternative. lifetime-adjusted average return, together with return-speci¯c variance, forms basis for portfolio optimization conducted second stage analysis. minimum variance (or maximum return) performed separately base-load peak-load technology portfolios. By defining different scenarios upper lower bound technology's share, simulate situations, enabling us both, explain profile mix, make predictions Our NPV calculations line observed returns and, by imposing some reasonable restrictions, performs sufficiently well terms explaining past compositions. Moreover, our predicted optimal outcome matches quite nicely debated options enlarging Switzerland.