NDLI: Risk management in electricity market by portfolio optimization

Content Provider	IEEE Xplore Digital Library
Author	Shinde, Pooja U. Deshmukh, S. R.
Copyright Year	2014
Description	Author affiliation: Department of Electrical Engineering, PVG's COET, Pune, India (Deshmukh, S. R.) \|\| Department of Electrical Engineering, JSPM's BSIOTR, Pune, India (Shinde, Pooja U.)
Abstract	Though electricity is getting traded as a commodity, the price of power is more volatile than any other commodity. The price of power is controlled by many unseen and random market driven factors, such as load-demand variation, attitude of market players, fuel price variation, availability of resources etc. Due to this, market participants get exposed to price-risk and their profitability gets affected. Hence since more than a decade, risk management has become an essential task for electrify market participants. In case of conventional generation, oil, coals are the major fuels. The variability of fuel price affects the price of power. In this paper, the effect of variability of fuel price on risk is analyzed. The objective of this paper is to minimize the risk associated with fuel - price variation using portfolio optimization method. This paper explains the concept of efficient frontier, a key feature of portfolio theory and its application in fuel - price risk minimization. The results are analyzed for different combinations of fuels such as coal and oil considering two approaches: Monthly Efficient Frontier and Daily Efficient Frontier. The work suggests the approach of using daily price variation to obtain optimum portfolio.
Starting Page	1
Ending Page	6
File Size	908304
Page Count	6
File Format	PDF
e-ISBN	9781479953646
DOI	10.1109/INDICON.2014.7030542
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-12-11
Publisher Place	India
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Correlation coefficient portfolio risk efficient frontier portfolio return Coal portfolio optimization Risk management Portfolios Optimization Standards
Content Type	Text
Resource Type	Article

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
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3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
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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