NDLI: Power portfolio optimization with traded contract products

Content Provider	IEEE Xplore Digital Library
Author	Yi Sun Wu, F.F. Hui Zhou
Copyright Year	2010
Description	Author affiliation: Zhejiang Electric Power Corporation, State Grid, China (Hui Zhou) \|\| University of Hong Kong, China (Yi Sun; Wu, F.F.)
Abstract	Power sector restructuring has prompted the application of modern portfolio theory among market participants. Much research has been devoted to power portfolio optimization problems. However, the portfolio composition adopted in literature is rather hypothetical than realistic. From an engineering perspective, it is necessary to use real traded contract products to construct the portfolio. In this paper, clarification is made on commonly traded power contracts in the market, followed by a discussion of their pricing schemes. It is emphasized that actively traded electricity futures/forwards and options actually belong to commodity swaps and swaptions respectively. A power portfolio is then constructed for a generation company with these basic power contracts and the spot transaction as well. An optimization model is formulated to solve the asset allocation with Conditional Value at Risk (CVaR) as the risk measure. The viability of the model is tested through a numerical study.
Starting Page	1
Ending Page	6
File Size	341955
Page Count	6
File Format	PDF
ISBN	9781424465491
ISSN	19449925
e-ISBN	9781424465514
e-ISBN	9781424483570
DOI	10.1109/PES.2010.5589561
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-07-25
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Portfolios Electricity Optimization Companies Forward contracts Numerical models Value at Risk Power portfolio electricity futures electricity options commodity swaps
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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Title Power portfolio optimization with traded contract products

Power portfolio optimization with traded contract products

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