Portfolio optimization in electricity markets

被引：70
作者：
Liu, Min [1 ]
Wu, Felix F.
机构：
[1] Guizhou Univ, Fac Elect Engn, Guiyang 550003, Guizhou, Peoples R China
[2] Univ Hong Kong, Dept Elect & Elect Engn, Hong Kong, Hong Kong, Peoples R China
来源：
ELECTRIC POWER SYSTEMS RESEARCH | 2007年 / 77卷 / 08期
关键词：
trading scheduling; portfolio theory; risk management; electricity market;
D O I：
10.1016/j.epsr.2006.08.025
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
In a competitive electricity market, Generation companies (Gencos) face price risk and delivery risk that affect their profitability. Risk management is an important and essential part in the Genco's decision making. In this paper, risk management through diversification is considered. The problem of energy allocation between spot markets and bilateral contracts is formulated as a general portfolio optimization problem with a risk-free asset and n risky assets. Historical data of the PJM electricity market are used to demonstrate the approach. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：1000 / 1009
页数：10
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