By Topic

Financial risk management in a competitive electricity market

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

3 Author(s)
Bjorgan, R. ; Dept. of Electr. Eng., Washington Univ., Seattle, WA, USA ; Chen-Ching Liu ; Lawarree, J.

This paper proposes solutions for electricity producers in the field of financial risk management for electric energy contract evaluation. The efficient frontier is used as a tool to identify the preferred portfolio of contracts. Each portfolio has a probability density function for the profit. For important scheduling policies, closed form solutions are found for the amount of futures contracts that correspond to the efficient frontier. Production scheduling must consider resource constraints. It is found that, without resource constraints, the portfolio with the highest expected profit can be preferred-even for a risk-averse decision-maker. When resource constraints are present, portfolios not corresponding to the maximum expected profit criteria will more frequently be preferred

Published in:

Power Systems, IEEE Transactions on  (Volume:14 ,  Issue: 4 )