Research On Investment Portfolio Strategy Of Power Generation Enterprises Under Carbon Emission Constraints

Facing the increasingly serious climate problem,China has put forward the dual-carbon goal of peak carbon dioxide emissions and carbon neutrality,which means that the environment of carbon emission constraint has gradually formed and will exist for a long time in China.In this context,China has been paying more and more attention to the investment field of energy emission reduction.As the most important carbon emission source,the power industry should take the initiative to undertake the responsibility of emission reduction,and actively carry out diversified low-carbon investment on the basis of ensuring stable power supply.Therefore,power generation enterprises should select investment targets and determine the investment share through scientific methods,so as to improve the economic benefits of enterprises while completing the task of emission reduction.This paper mainly applies real option theory and portfolio theory to analyze the current situation of emission reduction investment of power generation enterprises in China,and selects three main investment directions,namely coal-fired power,renewable energy and emission reduction technology projects.This paper describes the uncertain factors in the investment process,introduces geometric Brownian motion to describe the changing characteristics of variables,uses real option theory to evaluate the option holding value of power generation projects under the fluctuation of uncertain factors,and uses least square Monte Carlo simulation to solve the real option model.Then,taking the risk minimization under certain income conditions as the optimization goal,the investment income distribution of each project is substituted into the portfolio,and the optimal portfolio including multiple power generation projects is solved,and then the optimal investment strategy of the enterprise and the changes of the optimal investment ratio of each project are simulated and analyzed in different situations,thus providing reasonable suggestions for the investment decision-making of power generation enterprises.The results show that when the expected rate of return of power generation enterprises is higher than 30%,the proportion of renewable energy replacing coal-fired power in the optimal investment portfolio increases greatly,and the overall investment risk increases at an accelerated rate;With the improvement of the confidence level in the model,the investment preference of enterprises is more conservative,and the allocation of funds is energy represented by wind power;Emission reduction technology projects are affected by carbon price fluctuations and carbon emission constraints,with high risks and low returns,accounting for the smallest proportion in the optimal portfolio;The reduction of the free quota ratio makes the carbon emission constraints faced by enterprises more stringent,and the risk loss of coal-fired power increases.Renewable energy and emission reduction technology projects occupy the majority of the optimal investment portfolio.According to the above research conclusions,this paper puts forward some investment portfolio suggestions for power generation enterprises in different scenarios.