NDLI: Optimal capacity allocation in different markets for generation companies employing the mean-lower partial moments model

Content Provider	IEEE Xplore Digital Library
Author	Yong Yan Fushuan Wen Jiansheng Huang
Copyright Year	2009
Description	Author affiliation: School of Electrical Engineering, South China University of Technology, Guangzhou 510640, China (Yong Yan; Fushuan Wen) \|\| School of Computing and Mathematics, University of Western Sydney, Locked Bag 1797, Penrith South DC, NSW 1797 Australia (Jiansheng Huang)
Abstract	In the power industry deregulation era, an power supplier needs to optimal allocate its generation capacities for participating in different markets in order to maximize the return while control the risk of receiving the minimum profit below a certain level. This paper, based on a thorough analysis on the asset allocation problem of power suppliers, performs such an optimization using the proposed mean-return lower partial moment (LPM) model with risk-free asset. According to the theories of Expected Utility, Stochastic Dominance and Return-Risk Model, a LPM of $2^{th}$ Order (LPM) is a third order stochastic dominance (TSD) method while the conventional measures, such as variance, Value at Risk (VAR) and conditional VAR (CVAR), at most correspond to second order stochastic dominance (SSD). Therefore, the utility function formulated by the LPM can reflect an investor's mental process. The proposed model was verified by a numerical study using the PJM real market data.
Starting Page	1
Ending Page	8
File Size	1148044
Page Count	8
File Format	PDF
ISBN	9781424442416
ISSN	19449925
DOI	10.1109/PES.2009.5275454
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-07-26
Publisher Place	Canada
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Stochastic processes Reactive power Power industry Power generation Optimal control Risk analysis Performance analysis Asset management Power supplies Utility theory dependence measure power market risk management Copula function LPM expected utility function stochastic dominance asset allocation
Content Type	Text
Resource Type	Article

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