<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462021000100010</article-id>
<article-id pub-id-type="doi">10.21919/remef.v16i1.447</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Power generation portfolios: A parametric formulation of the efficient frontier]]></article-title>
<article-title xml:lang="es"><![CDATA[Carteras de generación de energía: Una formulación paramétrica de la frontera eficiente]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Juárez-Lunat]]></surname>
<given-names><![CDATA[David]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Anáhuac México  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>México</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>03</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>03</month>
<year>2021</year>
</pub-date>
<volume>16</volume>
<numero>1</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462021000100010&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462021000100010&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462021000100010&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract This paper aims to provide a methodology to construct parametrically the Efficient Frontier (EF) of Power Generation Portfolio (PGP). The methodology works as follows. First, we obtain two sets of the shares of the assets: one that guarantee the maximal expected return on the PGP; and another that guarantee the minimal risk of the PGP. The EF corresponds to the parametric equation of the risk-return profiles from the minimal risk to the maximal expected return of the PGP. We apply our methodology to replicate the results from three existing papers. The present methodology allows to and different and more coherent results than those obtained in the original papers. The analysis suggests that there are optimal investment alternatives that have been denied by previous analysis. This fact creates a bias in the design of investment policies in electricity generation. One limitation of the paper is that the analysis relies on the assumption that the covariances of the returns of the different assets is zero. This assumption leads to gains in tractability, clarity, and in the scope of the methodology formulated.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen El objetivo de este artículo es proporcionar una metodología para construir, paramétricamente, la frontera eficiente (EF, por sus siglas en inglés) de portafolios de generación de energía (PGP, por sus siglas en inglés). La metodología opera de la siguiente manera. Primero, obtenemos dos conjuntos de las participaciones de los activos: uno que garantiza el máximo rendimiento del PGP; y otro que garantiza el riesgo mínimo del PGP. La EF corresponde a la ecuación paramétrica de los perfiles de riesgo-rendimiento, desde el riesgo mínimo hasta el máximo rendimiento esperado del PGP. La metodología propuesta se aplica para replicar los resultados de tres artículos existentes. La presente metodología permite encontrar resultados diferentes y más coherentes que los obtenidos en los documentos originales. El análisis sugiere que existen alternativas de inversión óptimas que han sido negadas por análisis previos. Este hecho crea un sesgo en el diseño de políticas de inversión en la generación de electricidad. Una limitante del trabajo es que el análisis se basa en el supuesto de que las covarianzas de los rendimientos de los diferentes activos son cero. Este supuesto implica ganancias en cuanto al manejo, la claridad y en el alcance de la metodología formulada.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Portfolio]]></kwd>
<kwd lng="en"><![CDATA[Power Generation]]></kwd>
<kwd lng="en"><![CDATA[Efficient Frontier]]></kwd>
<kwd lng="en"><![CDATA[Risk]]></kwd>
<kwd lng="en"><![CDATA[Return]]></kwd>
<kwd lng="es"><![CDATA[Portafolio]]></kwd>
<kwd lng="es"><![CDATA[generación de energía]]></kwd>
<kwd lng="es"><![CDATA[frontera eficiente]]></kwd>
<kwd lng="es"><![CDATA[riesgo]]></kwd>
<kwd lng="es"><![CDATA[rendimiento]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Adams]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Jamasb]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
</person-group>
<source><![CDATA[Optimal Power Generation Portfolios with Renewables: An Application to the UK]]></source>
<year>2016</year>
<publisher-name><![CDATA[Faculty of Economics, University of Cambridge]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Allan]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
<name>
<surname><![CDATA[Eromenko]]></surname>
<given-names><![CDATA[I.]]></given-names>
</name>
<name>
<surname><![CDATA[McGregor]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Swales]]></surname>
<given-names><![CDATA[K.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The regional electricity generation mix in Scotland: A portfolio selection approach incorporating marine technologies]]></article-title>
<source><![CDATA[Energy Policy]]></source>
<year>2011</year>
<volume>39</volume>
<page-range>6-22</page-range></nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Arnesano]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Carlucci A. P.]]></surname>
<given-names><![CDATA[Laforgia D.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Extension of portfolio theory application to energy planning problem - The Italian case]]></article-title>
<source><![CDATA[Energy]]></source>
<year>2012</year>
<volume>39</volume>
<page-range>112-4</page-range></nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Awerbuch]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Berger]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Applying portfolio Theory to EU Electricity Planning and Policy-Making]]></source>
<year>2003</year>
<publisher-loc><![CDATA[Paris ]]></publisher-loc>
<publisher-name><![CDATA[IEA]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bhattacharya]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Kojima]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Power sector investment risk and renewable energy: A Japanese case study using portfolio risk optimization method]]></article-title>
<source><![CDATA[Energy Policy]]></source>
<year>2012</year>
<volume>40</volume>
<page-range>69-80</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Costa]]></surname>
<given-names><![CDATA[O. L.V.]]></given-names>
</name>
<name>
<surname><![CDATA[Ribeiro]]></surname>
<given-names><![CDATA[C. O.]]></given-names>
</name>
<name>
<surname><![CDATA[Rego]]></surname>
<given-names><![CDATA[E. E.]]></given-names>
</name>
<name>
<surname><![CDATA[Stern]]></surname>
<given-names><![CDATA[J. M.]]></given-names>
</name>
<name>
<surname><![CDATA[Parente]]></surname>
<given-names><![CDATA[V.]]></given-names>
</name>
<name>
<surname><![CDATA[Kileber]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Robust portfolio optimization for electricity planning: An application based on the Brazilian electricity mix]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2017</year>
<volume>64</volume>
<page-range>158-69</page-range></nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cunha]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Ferreira]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Designing electricity generation portfolios using the mean-variance approach]]></article-title>
<source><![CDATA[Int. J. Sustain. Energy Plan. Manag.]]></source>
<year>2014</year>
<volume>4</volume>
<page-range>17-30</page-range></nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Delarue]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
<name>
<surname><![CDATA[Jonghe]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Belmans]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[D&#8217;haeseleer]]></surname>
<given-names><![CDATA[W.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Applying portfolio theory to the electricity sector: Energy versus power.]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2011</year>
<volume>33</volume>
<page-range>12-23</page-range></nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[DeLlano-Paz]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Calvo-Silvosa]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Antelo]]></surname>
<given-names><![CDATA[S. I.]]></given-names>
</name>
<name>
<surname><![CDATA[Soares]]></surname>
<given-names><![CDATA[I.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Energy planning and modern portfolio theory: A review]]></article-title>
<source><![CDATA[Renewable and Sustainable Energy Review]]></source>
<year>2017</year>
<volume>77</volume>
<page-range>636-51</page-range></nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Francés]]></surname>
<given-names><![CDATA[G. E.]]></given-names>
</name>
<name>
<surname><![CDATA[Marín-Quemada]]></surname>
<given-names><![CDATA[J.M.]]></given-names>
</name>
<name>
<surname><![CDATA[González]]></surname>
<given-names><![CDATA[E. S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[RES and risk: Renewable energy&#8217;s contribution to energy security. A portfolio based approach]]></article-title>
<source><![CDATA[Renewable and Sustainable Energy Reviews]]></source>
<year>2013</year>
<volume>26</volume>
<page-range>549-59</page-range></nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Freund]]></surname>
<given-names><![CDATA[J. E.]]></given-names>
</name>
<name>
<surname><![CDATA[Miller]]></surname>
<given-names><![CDATA[I]]></given-names>
</name>
<name>
<surname><![CDATA[Miller]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Estadística matemática con aplicaciones]]></source>
<year>2000</year>
<publisher-name><![CDATA[Pearson educación]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Gómez-Ríos]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Juárez-Luna]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Cost of electric generation accounting for environmental externalities: Optimal mix of baseload technologies]]></article-title>
<source><![CDATA[Revista Mexicana de Economía y Finanzas Nueva Época REMEF]]></source>
<year>2019</year>
<volume>14</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>353-77</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jain]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Roelofs]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Oosterlee]]></surname>
<given-names><![CDATA[C. W.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Decision-support tool for assessing future nuclear reactor generation portfolios]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2014</year>
<volume>44</volume>
<page-range>99-112</page-range></nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Jansen]]></surname>
<given-names><![CDATA[J. C.]]></given-names>
</name>
<name>
<surname><![CDATA[Beurskens]]></surname>
<given-names><![CDATA[L.W.M.]]></given-names>
</name>
<name>
<surname><![CDATA[Tilburg]]></surname>
<given-names><![CDATA[X.V.]]></given-names>
</name>
</person-group>
<source><![CDATA[Application of portfolio analysis to the Dutch generating mix]]></source>
<year>2006</year>
<publisher-name><![CDATA[Energy research council of Netherlands]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Losekann]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Marrero]]></surname>
<given-names><![CDATA[G. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Ramos-Real]]></surname>
<given-names><![CDATA[F. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Almeida]]></surname>
<given-names><![CDATA[E. L.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Efficient power generating portfolio in Brazil: Conciliating cost, emissions and risk]]></article-title>
<source><![CDATA[Energy Policy]]></source>
<year>2013</year>
<volume>62</volume>
<page-range>301-14</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Markowitz]]></surname>
<given-names><![CDATA[H. M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Portfolio Selection]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>1952</year>
<volume>7</volume>
<page-range>77-91</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Perea González]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Zavaleta Vazquez]]></surname>
<given-names><![CDATA[O.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Designing an optimal electricity supply portfolio based on the Markowitz model: The case of a user in Mexico]]></article-title>
<source><![CDATA[Contaduría y Administración]]></source>
<year>2020</year>
<volume>65</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>1-20</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Pinheiro Neto]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
<name>
<surname><![CDATA[Domingues]]></surname>
<given-names><![CDATA[E. G.]]></given-names>
</name>
<name>
<surname><![CDATA[Coimbra]]></surname>
<given-names><![CDATA[A. P.]]></given-names>
</name>
<name>
<surname><![CDATA[de Almeida]]></surname>
<given-names><![CDATA[A. T.]]></given-names>
</name>
<name>
<surname><![CDATA[Alves]]></surname>
<given-names><![CDATA[A. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Calixto]]></surname>
<given-names><![CDATA[W. P.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Portfolio optimization of renewable energy assets: hydro, wind, and photovoltaic energy in the regulated market in Brazil]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2017</year>
<volume>64</volume>
<page-range>238-50</page-range></nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Roques]]></surname>
<given-names><![CDATA[F. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Hiroux]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Saguan]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Optimal wind power deployment in Europe - A portfolio approach]]></article-title>
<source><![CDATA[Energy Policy]]></source>
<year>2010</year>
<volume>38</volume>
<page-range>3245-56</page-range></nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Roques]]></surname>
<given-names><![CDATA[F. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Newbery]]></surname>
<given-names><![CDATA[D. M.]]></given-names>
</name>
<name>
<surname><![CDATA[Nuttall]]></surname>
<given-names><![CDATA[W. J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Fuel mix diversification incentives in liberalized electricity markets: A Mean-Variance Portfolio theory approach]]></article-title>
<source><![CDATA[Energy Economics]]></source>
<year>2008</year>
<volume>30</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>1831-49</page-range></nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Roques]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Power generation investments in liberalised markets: methodologies to capture risk, flexibility, and portfolio diversity]]></article-title>
<source><![CDATA[Économies et Sociétés]]></source>
<year>2006</year>
<volume>10</volume>
<numero>Oct./Nov</numero>
<issue>Oct./Nov</issue>
<page-range>1563-94</page-range></nlm-citation>
</ref>
<ref id="B22">
<nlm-citation citation-type="confpro">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Vithayasrichareon]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[MacGill]]></surname>
<given-names><![CDATA[I.F.]]></given-names>
</name>
<name>
<surname><![CDATA[Wen]]></surname>
<given-names><![CDATA[F.S.]]></given-names>
</name>
</person-group>
<source><![CDATA[Electricity generation portfolio evaluation for highly uncertain and carbon constrained future electricity industries]]></source>
<year>2010</year>
<conf-name><![CDATA[ IEEE Power and Energy Society General Meeting]]></conf-name>
<conf-loc> </conf-loc>
</nlm-citation>
</ref>
<ref id="B23">
<nlm-citation citation-type="confpro">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Vithayasrichareon]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[MacGill]]></surname>
<given-names><![CDATA[I.F.]]></given-names>
</name>
<name>
<surname><![CDATA[Wen]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Electricity Generation Portfolio Analysis for Coal, Gas and Nuclear Plant under Future Uncertainties]]></source>
<year>2010</year>
<conf-name><![CDATA[ 4thIASTED Asian Conference on Power and Energy Systems]]></conf-name>
<conf-loc> </conf-loc>
</nlm-citation>
</ref>
</ref-list>
</back>
</article>
