Conditional value-at-risk constrained optimisation of a power portfolio
by Cigdem Z. Gurgur, Emily K. Newes
International Journal of Applied Decision Sciences (IJADS), Vol. 4, No. 3, 2011

Abstract: The deregulation of electricity markets is introducing risk and uncertainty into a sector of the economy that was traditionally state-regulated. In order to manage risk from market prices, consumers and producers use financial methods to support decentralised decision making under uncertainty. In this research, optimisation of portfolios of real and contractual assets is considered in a multi-period setting that includes transmission constraints. Fixed transmission rights are used as a measure of transmission congestion using data from the PJM Interconnection, a regional transmission organisation in the USA. The results show that transmission considerations in a power portfolio optimisation problem do have an impact on the profit function. Omitting transmission congestion may over-state expected profit. Companies should not only hedge the risk of unknown power prices but also unknown transmission congestion.

Online publication date: Mon, 29-Sep-2014

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Applied Decision Sciences (IJADS):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com