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Risk Assessment and Management of Portfolio Optimization for Power Plants

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4 Author(s)
Wang, R. ; Sch. of Hydropower & Digitalized Eng., Huazhong Univ. of Sci. & Technol., Wuhan ; Shang, J.C. ; Zhou, X.Y. ; Zhang, Y.C.

In electric power markets, power plants become one of the main players and they are facing different choices of supply markets. Different markets have unique fluctuating characters of market prices and revenue rate. The power producer will decide the proportional electricity supply in different markets for a bidding strategy of the annual total electricity supply. The power portfolio strategy is to maximize the annual profit under the lowest level of bidding risks and under the restriction of exceeding the minimum expected annual profit. Risks measurement and management techniques, value-at-risk (VaR) and conditional value-at-risk (CVaR), proposed in financial research field recently are introduced in this paper to build a portfolio optimization model with CVaR risk minimization for power producers in electricity markets. The mathematical model is discussed, the solution is given out and then the model is applied into a simulation scenario to verify its efficiency. Simulation results indicate that the proposed CVaR based risk measurement and decision model for generators can be efficiently adopted to give out the optimal allocation of bidding generation in different markets

Published in:

Transmission and Distribution Conference and Exhibition: Asia and Pacific, 2005 IEEE/PES

Date of Conference:

2005