Title: Deriving a minimum acceptable Rate of Return on equity for a wind farm from a comprehensive risk model using Monte Carlo simulation
Language: English
Authors: Kaltenegger, Christian 
Qualification level: Diploma
Advisor: Aussenegg, Wolfgang
Issue Date: 2012
Number of Pages: 83
Qualification level: Diploma
Investments in renewable energy are a relatively new asset class with only a decade of experience from private investors. It is distinctive to other investments in infrastructure and companies in their risk return profile. This paper outlines a comprehensive framework of risk management and allocation. Based on this model, a Monte Carlo simulation is run in order to calculate the expected values and the standard deviation for key target ratios for liquidity and return. The expected internal rate of return (IRR) and the standard deviation are compared to the respective figures from an investment in a S&P 500 portfolio by calculating the respective Sharpe ratios. From this comparison a minimum acceptable rate of return for this wind park investment is derived.
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-59592
Library ID: AC10675556
Organisation: E017 - Weiterbildungszentrum der TU Wien 
Publication Type: Thesis
Appears in Collections:Thesis

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