Optimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman]

In this paper the expectations of energy generators in the market about costs under a context of uncertainty are modeled through the application of discounted cash flows and the Black Litterman model. Models of Seasonal Auto Regressive Integrated Moving Average (SARIMA) and Autoregressive Conditiona...

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Fecha de publicación:: 2017

Institución:: Universidad de Medellín

Repositorio:: Repositorio UDEM

Idioma:: spa

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network_acronym_str	REPOUDEM2
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spelling	2017-12-19T19:36:48Z2017-12-19T19:36:48Z20177981015http://hdl.handle.net/11407/4332reponame:Repositorio Institucional Universidad de Medellíninstname:Universidad de MedellínIn this paper the expectations of energy generators in the market about costs under a context of uncertainty are modeled through the application of discounted cash flows and the Black Litterman model. Models of Seasonal Auto Regressive Integrated Moving Average (SARIMA) and Autoregressive Conditional Heteroskedasticity are used to determine the variables behavior that determines the income and expenses of a hydroelectric project in a small power plant. Obtaining the optimal combination of financing sources and energy amounts generated to obtain expected return, satisfy demand in the conditions required by law and meet market expectations. © 2017. revistaESPACIOS.com.spaRevista EspaciosFacultad de Ingenieríashttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85020182699&partnerID=40&md5=ddc4c8155baa00d113eb29a5d87625d8EspaciosScopusOptimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman]Articleinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Rodas Restrepo, Y., Universidad de Medellín, ColombiaArango Arango, M.A., Universidad de Medellín, Colombia, Universidad Nacional de Colom, ColombiaRodas Restrepo Y.Arango Arango M.A.Universidad de Medellín, ColombiaUniversidad Nacional de Colom, ColombiaBlack Litterman modelInvestment decisionsPortfolio choicePower energyIn this paper the expectations of energy generators in the market about costs under a context of uncertainty are modeled through the application of discounted cash flows and the Black Litterman model. Models of Seasonal Auto Regressive Integrated Moving Average (SARIMA) and Autoregressive Conditional Heteroskedasticity are used to determine the variables behavior that determines the income and expenses of a hydroelectric project in a small power plant. Obtaining the optimal combination of financing sources and energy amounts generated to obtain expected return, satisfy demand in the conditions required by law and meet market expectations. © 2017. revistaESPACIOS.com.http://purl.org/coar/access_right/c_16ec11407/4332oai:repository.udem.edu.co:11407/43322020-05-27 17:39:18.892Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co
dc.title.spa.fl_str_mv	Optimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman]
title	Optimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman]
spellingShingle	Optimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman] Black Litterman model Investment decisions Portfolio choice Power energy
title_short	Optimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman]
title_full	Optimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman]
title_fullStr	Optimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman]
title_full_unstemmed	Optimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman]
title_sort	Optimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman]
dc.contributor.affiliation.spa.fl_str_mv	Rodas Restrepo, Y., Universidad de Medellín, Colombia Arango Arango, M.A., Universidad de Medellín, Colombia, Universidad Nacional de Colom, Colombia
dc.subject.keyword.eng.fl_str_mv	Black Litterman model Investment decisions Portfolio choice Power energy
topic	Black Litterman model Investment decisions Portfolio choice Power energy
description	In this paper the expectations of energy generators in the market about costs under a context of uncertainty are modeled through the application of discounted cash flows and the Black Litterman model. Models of Seasonal Auto Regressive Integrated Moving Average (SARIMA) and Autoregressive Conditional Heteroskedasticity are used to determine the variables behavior that determines the income and expenses of a hydroelectric project in a small power plant. Obtaining the optimal combination of financing sources and energy amounts generated to obtain expected return, satisfy demand in the conditions required by law and meet market expectations. © 2017. revistaESPACIOS.com.
publishDate	2017
dc.date.accessioned.none.fl_str_mv	2017-12-19T19:36:48Z
dc.date.available.none.fl_str_mv	2017-12-19T19:36:48Z
dc.date.created.none.fl_str_mv	2017
dc.type.eng.fl_str_mv	Article
dc.type.coarversion.fl_str_mv	http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv	http://purl.org/coar/resource_type/c_6501 http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv	info:eu-repo/semantics/article
dc.identifier.issn.none.fl_str_mv	7981015
dc.identifier.uri.none.fl_str_mv	http://hdl.handle.net/11407/4332
dc.identifier.reponame.spa.fl_str_mv	reponame:Repositorio Institucional Universidad de Medellín
dc.identifier.instname.spa.fl_str_mv	instname:Universidad de Medellín
identifier_str_mv	7981015 reponame:Repositorio Institucional Universidad de Medellín instname:Universidad de Medellín
url	http://hdl.handle.net/11407/4332
dc.language.iso.none.fl_str_mv	spa
language	spa
dc.relation.isversionof.spa.fl_str_mv	https://www.scopus.com/inward/record.uri?eid=2-s2.0-85020182699&partnerID=40&md5=ddc4c8155baa00d113eb29a5d87625d8
dc.relation.ispartofes.spa.fl_str_mv	Espacios
dc.rights.coar.fl_str_mv	http://purl.org/coar/access_right/c_16ec
rights_invalid_str_mv	http://purl.org/coar/access_right/c_16ec
dc.publisher.spa.fl_str_mv	Revista Espacios
dc.publisher.faculty.spa.fl_str_mv	Facultad de Ingenierías
dc.source.spa.fl_str_mv	Scopus
institution	Universidad de Medellín
repository.name.fl_str_mv	Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv	repositorio@udem.edu.co
_version_	1814159174987153408

Optimization of the cost structure for hydropower generation: An application of the Black Litterman Model [Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del Modelo Black Litterman]

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