Portfolio Trading Strategies for Integrated Generators in the Electricity Mid to Long-term and Spot Markets

To balance the stable power quality of traditional energy generation with the scale economy advantage of high penetration of wind and PV generation, this paper focuses on integrated generators, firstly identifies the dependency of Renewable Portfolio Standard and tradable green certificate, the decision constraints of which on the power market portfolio trading strategy of integrated generators is clarified. Based on the technical characteristics of power generation, a decision framework is proposed that relies on the complementarity of thermal, wind, and PV units to meet the planned generation, and then allocates the power assets into multiple sub-markets of mid to long-term and spot. Combining the expected return, variance, and utility function model of the modern portfolio theory (MPT), it determines the multi-energy portfolio and multi-market allocation ratio of the integrated generator. Finally, we verify the feasibility of the portfolio model by case study. The influence of wind and PV power generation correlation and thermal power cost fluctuation on the portfolio trading strategy is also explored.