Capacity Payments and Renewable Portfolio Investments: A Real Options Approach
容量支払いと再生可能エネルギーポートフォリオ投資：リアルオプションアプローチ (AI 翻訳)
Clarissa Petrachini Gonçalves, Dorel Soares Ramos
🤖 gxceed AI 要約
日本語
本論文は、電力システムにおける再生可能エネルギーの比率増加に伴う資源適格性と投資インセンティブの問題に対し、容量支払いとポートフォリオの補完性が投資判断に与える影響をリアルオプション分析で評価。ブラジル市場を対象に、水力・風力・ハイブリッドポートフォリオの投資延期オプションをモデル化し、補完性がリスク低減と投資促進に寄与することを示した。
English
This paper evaluates how capacity payments and portfolio complementarities between hydropower and wind influence renewable investment decisions under uncertainty using a real options approach. Applied to the Brazilian electricity market, it shows that diversified hydro-wind portfolios reduce investment risk and lower the option value of waiting, enabling more competitive participation in capacity auctions.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本では2024年度から容量市場が本格稼働しており、再生可能エネルギーの長期投資インセンティブ設計が課題となっている。本論文のリアルオプション分析手法は、日本の容量市場における再エネポートフォリオ評価に応用可能であり、特に水力と風力の補完性に着目した投資戦略の示唆を与える。
In the global GX context
As capacity mechanisms expand globally (e.g., in the EU, UK, and Japan), this paper offers a real options framework to assess how portfolio diversification and capacity payments interact to de-risk renewable investments. The Brazilian case provides insights for designing capacity auctions that complement renewable support schemes.
👥 読者別の含意
🔬研究者:Provides a real options model incorporating price and output uncertainties for renewable portfolios, useful for extending to other markets and technologies.
🏢実務担当者:Demonstrates how hydro-wind complementarity can reduce investment risk and improve competitiveness in capacity auctions, informing portfolio strategy.
🏛政策担当者:Highlights that capacity payments are more effective when combined with support for diversified renewable portfolios, relevant for capacity market design.
📄 Abstract（原文）
The ongoing energy transition is increasing the share of renewable energy sources in electricity systems, raising concerns about resource adequacy and long-term investment incentives. Given the intermittent nature of renewable generation, investors face significant uncertainty related to electricity prices and production variability, which may influence investment timing and portfolio composition. In several liberalized electricity markets, capacity mechanisms have been introduced to mitigate these risks and ensure sufficient generation capacity. This paper evaluates how capacity payments and portfolio complementarities between renewable sources influence investment decisions under uncertainty. A real options analysis (ROA) framework is developed to model the option to defer investments in hydropower, wind power and combined hydro–wind portfolios. The model incorporates uncertainties related to electricity prices and generation output and is implemented using a binomial lattice approach with consolidated volatility estimates. The methodology is applied to the Brazilian electricity market (BEM), which is undergoing a liberalization process and preparing new capacity auctions. Results show that complementarities between hydropower and wind generation reduce investment risk and lower the option value of waiting. Diversified renewable portfolios allow investors to participate more competitively in capacity auctions while remaining resilient to market volatility, improving the effectiveness of capacity remuneration mechanisms.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.32479/ijeep.23625first seen 2026-07-27 04:53:21
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