مزیت تنوع منطقه ای از سرمایه گذاری های تولید همزمان در اروپا: میانگین واریانس تجزیه و تحلیل سبد سرمایه گذاری

The EU Directive 2004/8/EC, concerning the promotion of cogeneration, established principles on how EU member states can support combined heat and power generation (CHP). Up to now, the implementation of these principles into national law has not been uniform, and has led to the adoption of different promotion schemes for CHP across the EU member states. In this paper, we first give an overview of the promotion schemes for CHP in various European countries. In a next step, we take two standard CHP technologies, combined-cycle gas turbines (CCGT-CHP) and engine-CHP, and apply exemplarily four selected support mechanisms used in the four largest European energy markets: feed-in tariffs in Germany; energy efficiency certificates in Italy; benefits through tax reduction in the UK; and purchase obligations for power from CHP generation in France. For contracting companies, it could be of interest to diversify their investment in new CHP facilities regionally over several countries in order to reduce country and regulatory risk. By applying the Mean-Variance Portfolio (MVP) theory, we derive characteristic return-risk profiles of the selected CHP technologies in different countries. The results show that the returns on CHP investments differ significantly depending on the country, the support scheme, and the selected technology studied. While a regional diversification of investments in CCGT-CHP does not contribute to reducing portfolio risks, a diversification of investments in engine-CHP can decrease the risk exposure.

Combined heat and power (CHP) technologies bear a substantial potential for increasing energy efficiency and reducing environmental impacts compared to separate heat and power production. To encourage its member states to promote the CHP generation, and to provide an attractive framework for highly efficient cogeneration, the European Commission launched the EU CHP Directive 2004/8/EC in February 2004. The implementation of the directive has progressed more slowly than originally expected, but after more than five years, a number of EU member states have introduced support mechanisms to promote CHP technologies. The national promotion schemes are based on different principles, and vary considerably between the member states. In this paper, we first provide an overview of the different CHP promotion schemes used within the European Union. In a next step, we investigate the economic attractiveness of CHP investments in selected countries. In the applied model, we pay particular attention to the typical operational characteristics of CHP generation and to the promotion schemes implemented in different countries. Our intention is to compare CHP investments and to create robust CHP portfolios that are diversified from a regional as well as from a technological perspective. Under “robustness,” we understand in this context the ability to generate stable revenues for an investor, irrespective of changes in external effects, such as the impact of fuel and electricity price variation, changes in regulation, or technical change. The benefits of regional diversification could be of particular interest for international contracting companies that invest in CHP applications in different countries. “Contracting” means the delegation of energy supply-related tasks to a specialized company. Especially in the case of CHP generation for smaller utilities or industrial companies, contracting models have gained attractiveness over the last few years (Helle, 1997). The deeper know-how of contractors in energy-related topics leads in many cases to win–win situations for both parties involved. The technical basic design of the CHP assets is hereby quite similar, but the energy economics conditions, such as the level of commodity prices and the type of promotion scheme, are significantly different in various countries. The findings of this paper give an indication of internationally acting contracting companies regarding countries that provide economically attractive conditions for CHP investments, and to what extent commodity price risks as well as country and regulatory risks can be reduced by a regional diversification of the asset base.

Our investigation provides some insights for investors in CHP technology or contracting companies concerning the benefits of regional diversification in cogeneration assets. The results obtained clearly show that the impact of the established promotion schemes on the economic attractiveness of CHP investments is lower than the impact of the general level of commodity prices in the respective market. Nevertheless, CHP promotion contributes to increased profitability, and in many cases turns the balance in favor of new investments in the CHP generation. The analysis of CHP promotion schemes applied in the EU-27 shows a wide range of support mechanisms that are based on different principles. The results from the financial model show that the economic attractiveness of CHP investments varies significantly between the four selected energy markets and two CHP technologies chosen in our investigation. In all markets, the specific NPVs in €/kWel of CCGT-CHP are higher compared to the NPVs of engine-CHP applications. After implementation of the new CHP law in Germany in early 2009, the German market currently offers by far the most attractive investment options for CHP generation, followed by Italy, the UK, and France. The subsequent MVP analysis based on the results of the financial model comes to the conclusion that regional diversification is only conditionally able to reduce the risk exposure of CHP portfolios. The degree of diversification depends on the chosen technology. From our analysis, we conclude that a regional diversification of investments in CCGT-CHP is less meaningful from a return-risk perspective than a regional diversification of engine-CHP assets. These findings raise the general question of whether it is attractive for contractors to build up CHP portfolios that are regionally diversified. To answer this question, effects from a technological diversification of different kinds of CHP technologies, as is investigated in Westner and Madlener (2009a), and effects of an aggregation of small single CHP units to virtual power plants (VPPs) have to be considered as well. Especially the quantification of the economic benefit of VPPs for utilities reveals a fruitful area, where further research is urgently needed.