Portfolio Optimization for Power Plants: The Impact of Credit Risk Mitigation and Margining

摘要: The aim of this study is to analyze the impact credit risk mitigation via margining on optimal portfolio selection for power plants. We develop a model estimate cashflows that based clearing framework European Commodity Clearing AG (ECC), stochastic commodity price tracks, and pre-defined hedging strategy. To evaluate an assumed set plants, we calculate discounted cashflow each plant in conjunction with market Monte Carlo simulation tracks. valuation plants done without by means margining. resulting differences values, margining, are analyzed mean-variance approach Markowitz, specify consequences efficient frontier possible portfolios. find consideration relevant, as it can markedly change composition portfolios frontier.