Inclusión de futuros de energía eléctrica en portafolios de acciones

Juan Fernando Rendón-García; Alfredo Trespalacios; Hernan Darío Villada-Medina; Juan Gabriel Vanegas-López

doi:10.24310/recta.22.1.2021.19872

Authors

Juan Fernando Rendón-García Instituto Tecnológico Metropolitano
Alfredo Trespalacios Instituto Tecnológico Metropolitano
Hernan Darío Villada-Medina Instituto Tecnológico Metropolitano
Juan Gabriel Vanegas-López Tecnológico de Antioquia I.U.

DOI:

https://doi.org/10.24310/recta.22.1.2021.19872

Keywords:

Teoría moderna de portafolios, selección de portafolios, gestión de riesgos, futuros de energía eléctrica, mercados de energía eléctrica

Abstract

The purpose of this work is to measure the effect of including an electric power future contract in a portfolio of shares. The share price is modeled with a Multivariate Geometric Brownian Model, while the electricity futures model selected considers the short-term volatility of the market, the speed of reversion to the mean of the spot price and the long-term forward premium (difference between the expected stock price and the future price). This methodology is applied to a set of shares and a futures contract in the Colombian market. The results show that when including an electricity future contract in a portfolio of shares, movements of the efficient frontier of the portfolio are presented in the direction of risk reduction that do not necessarily imply a reduction in the expected return. In addition, it is observed that the lower volatility, the lower the speed of reversion to the mean and the lower the leverage level of the futures contract, the greater the contribution to portfolio diversification (lower risk for equal levels of expected profitability). On the other hand, the risk premium does not have a significant effect on the efficient frontier.

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