| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7411334 | Utilities Policy | 2018 | 9 Pages |
Abstract
This paper analyzes the historical risk-adjusted performance of CO2 emission allowances traded on SENDECO2 (the reference market for Southern Europe) by using the daily spot prices of the European Union Allowances (EUAs) and Certified Emission Reductions (CERs) from 2008 to 2012. We revisit the Sharpe-ratio, taking into account the modified version proposed by Ferruz and Sarto (1997), to propose a new performance indicator, the Sharpe-VaRFS, estimated by Monte Carlo simulation. Due to the existing imbalances between demand and supply for allowances, both the EUA and CER markets underperform when compared with financial stock markets, being unattractive to potential investors.
Keywords
Related Topics
Physical Sciences and Engineering
Energy
Energy (General)
Authors
José Manuel Feria-DomÃnguez, David Rodriguez-Carrillero, José Carlos Guerra-Martinez,