Managing electricity market price risk

被引：78

作者：

Vehviläinen, I

Keppo, J

机构：

[1] Fortum Power & Heat Oy, Fortum 00048, Finland

[2] Univ Michigan, Dept Ind & Operat Engn, Ann Arbor, MI 48109 USA

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2003年 / 145卷 / 01期

关键词：

energy; risk analysis; stochastic processes; simulation; portfolio optimization;

D O I：

10.1016/S0377-2217(01)00399-X

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper introduces an application of financial risk management methods to the deregulated electricity markets. A framework for the Monte Carlo performance simulation of a power portfolio is presented. The optimal portfolio selection problem is addressed and a numerical method is implemented. Numerical results of simulation and optimization are presented in the Nordic electricity market. The results suggest that the risk management methods of the paper can be applied to the everyday electricity market practice. (C) 2002 Published by Elsevier Science B.V.

引用

页码：136 / 147

页数：12

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