A Multi-CVaR Approach for Optimal Wind Power Trading and Virtual Bidding in Wholesale Electricity Markets

Risk management is essential to decision-making problems under uncertainty such as the optimal wind power bidding in electricity markets. However, most of the existing risk-management tools, such as the conditional value at risk (CVaR), are designed to control the total expected cost or profit of the decision-maker. Hence, a change in the risk-aversion degree may simultaneously affect the decisions related to all investments. This paper proposes a multi-CVaR approach for the optimal wind power trading and virtual bidding in two-settlement wholesale electricity markets. The proposed approach gives more flexibility to wind power producers, who may trade wind power and virtual bidding with different risk-aversion levels. Case studies are conducted to verify the effectiveness of the proposed model using real-world data.