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The impact of liberalization on the scope of efficiency improvement in electricity-generating portfolios for the United States and Switzerland


Krey, Boris; Zweifel, Peter (2008). The impact of liberalization on the scope of efficiency improvement in electricity-generating portfolios for the United States and Switzerland. Zeitschrift für Energiewirtschaft, 32(3):203-209.

Abstract

In this study, Markowitz mean-variance portfolio theory is applied to electricity-generating technologies of the United States and Switzerland. Both an investor (focused on changes in return) and a current user (focused on return in levels) view are adopted to determine efficient frontiers of electricity generation technologies in terms of expected return and risk as of 2003. Since shocks in generation costs per kWh (the inverse of returns) are correlated, Seemingly Unrelated Regression Estimation (SURE) is used to filter out the systematic components of the covariance matrix. Results suggest that risk-averse investors and risk-neutral current users in the United States are considerably closer to their efficiency frontier than their Swiss counterparts. This may be due to earlier and more thorough deregulation of electricity markets in the United States.

In this study, Markowitz mean-variance portfolio theory is applied to electricity-generating technologies of the United States and Switzerland. Both an investor (focused on changes in return) and a current user (focused on return in levels) view are adopted to determine efficient frontiers of electricity generation technologies in terms of expected return and risk as of 2003. Since shocks in generation costs per kWh (the inverse of returns) are correlated, Seemingly Unrelated Regression Estimation (SURE) is used to filter out the systematic components of the covariance matrix. Results suggest that risk-averse investors and risk-neutral current users in the United States are considerably closer to their efficiency frontier than their Swiss counterparts. This may be due to earlier and more thorough deregulation of electricity markets in the United States.

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Additional indexing

Item Type:Journal Article, not refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Economics
Dewey Decimal Classification:330 Economics
Language:English
Date:30 September 2008
Deposited On:13 Nov 2008 16:27
Last Modified:05 Apr 2016 12:33
Publisher:Vieweg
ISSN:0343-5377
Funders:Swiss National Science Foundation (100012–116563)
Publisher DOI:10.1007/s12398-008-0026-1
Official URL:http://www.ewi.uni-koeln.de/ZfE.95.0.html
Permanent URL: http://doi.org/10.5167/uzh-5100

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