Efficient Multi-Energy Generation Portfolios for the Future

This paper introduces the application of mean-variance portfolio theory to portfolios generating multiple forms of energy such as electricity, heating or cooling power. Portfolio theory has already been successfully applied to several cases of electricity generation planning. A general extension of this method to an arbitrary number of output energies will be developed in this paper. Instead of calculating means and variances from time series of historical data as it is commonly done a set of several possible scenarios is used. By this means, the model allows to appropriately take into account uncertainties about future developments, which may be able to alter the economic performance of the considered generation technologies. In order to illustrate the proposed method, the model is applied to a portfolio of distributed electricity and heat generation technologies. In so doing, it is shown how efficient risk-return combinations for multi-energy generation portfolios can be determined.