Title :
Risk Control and Portfolio Management of Investment in Chinese New Power Market
Author_Institution :
Econ. & Manage. Sch., Beihang Univ., Beijing, China
Abstract :
The paper makes analysis of the investment risks towards new power shares in Chinese stock markets based on Markowitz mean-variance model using Monte Carlo simulation for solution. Five stocks from new power fields, including wind, nuclear, solar, biomass, and hydrogen, are used to form the portfolio and get the optimal weights dynamics from 2006 to 2009. It´s found that the optimal investment weights of solar energy and nuclear energy rise during the sample period. The hydrogen energy slightly decreases, while biomass and wind energies have obvious down turn. The results offer investors guide towards making decisions in new power investment to achieve the minimum risks.
Keywords :
Monte Carlo methods; investment; nuclear power; power markets; risk management; solar power stations; stock markets; wind power; Chinese new power market; Chinese stock markets; Markowitz mean variance model; Monte Carlo simulation; biomass energy; decision making; hydrogen energy; investment risk control; nuclear energy; optimal investment weights dynamics; portfolio investment management; power investment; power shares; solar energy; wind energy; Biological system modeling; Biomass; Government; Investments; Meteorology; Portfolios; investment; new power; optimization; risk; simulation;
Conference_Titel :
Electrical and Control Engineering (ICECE), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6880-5
DOI :
10.1109/iCECE.2010.1015
