Mean-risk optimization of electricity portfolios

We present a mathematical model with stochastic input data for mean‐risk optimization of electricity portfolios containing several physical components and energy derivative products. The model is designed for the optimization horizon of one year in hourly discretization. The aim consists in maximizi...

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Bibliographic Details
Published in:Proceedings in applied mathematics and mechanics 2004-12, Vol.4 (1), p.3-6
Main Authors: Eichhorn, Andreas, Gröwe-Kuska, Nicole, Liebscher, Andrea, Römisch, Werner, Spangardt, Gorden, Wegner, Isabel
Format: Article
Language:English
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Summary:We present a mathematical model with stochastic input data for mean‐risk optimization of electricity portfolios containing several physical components and energy derivative products. The model is designed for the optimization horizon of one year in hourly discretization. The aim consists in maximizing the mean book value of the portfolio at the end of the optimization horizon and, at the same time, in minimizing the risk of the portfolio decisions. The risk is measured by the conditional value‐at‐risk and by some multiperiod extension of CVaR, respectively.We present numerical results for a large‐scale realistic problem adapted to a municipal power utility and study the effects of varying weighting of risk. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)
ISSN:1617-7061
1617-7061
DOI:10.1002/pamm.200410001