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Conference Paper: Power portfolio optimization with traded contract products

TitlePower portfolio optimization with traded contract products
Authors
KeywordsCommodity swaps
Electricity futures
Electricity options
Power portfolio
Value at risk
Issue Date2010
PublisherIEEE.
Citation
The 2010 IEEE Power and Energy Society General Meeting, Minneapolis, MN., 25-29 July 2010. In Conference Proceedings, 2010, p. 1-6 How to Cite?
AbstractPower sector restructuring has prompted the application of modern portfolio theory among market participants. Much research has been devoted to power portfolio optimization problems. However, the portfolio composition adopted in literature is rather hypothetical than realistic. From an engineering perspective, it is necessary to use real traded contract products to construct the portfolio. In this paper, clarification is made on commonly traded power contracts in the market, followed by a discussion of their pricing schemes. It is emphasized that actively traded electricity futures/forwards and options actually belong to commodity swaps and swaptions respectively. A power portfolio is then constructed for a generation company with these basic power contracts and the spot transaction as well. An optimization model is formulated to solve the asset allocation with Conditional Value at Risk (CVaR) as the risk measure. The viability of the model is tested through a numerical study. ©2010 IEEE.
Persistent Identifierhttp://hdl.handle.net/10722/132189
References

 

DC FieldValueLanguage
dc.contributor.authorSun, Yen_HK
dc.contributor.authorWu, FFen_HK
dc.contributor.authorZhou, Hen_HK
dc.date.accessioned2011-03-21T09:00:14Z-
dc.date.available2011-03-21T09:00:14Z-
dc.date.issued2010en_HK
dc.identifier.citationThe 2010 IEEE Power and Energy Society General Meeting, Minneapolis, MN., 25-29 July 2010. In Conference Proceedings, 2010, p. 1-6en_US
dc.identifier.urihttp://hdl.handle.net/10722/132189-
dc.description.abstractPower sector restructuring has prompted the application of modern portfolio theory among market participants. Much research has been devoted to power portfolio optimization problems. However, the portfolio composition adopted in literature is rather hypothetical than realistic. From an engineering perspective, it is necessary to use real traded contract products to construct the portfolio. In this paper, clarification is made on commonly traded power contracts in the market, followed by a discussion of their pricing schemes. It is emphasized that actively traded electricity futures/forwards and options actually belong to commodity swaps and swaptions respectively. A power portfolio is then constructed for a generation company with these basic power contracts and the spot transaction as well. An optimization model is formulated to solve the asset allocation with Conditional Value at Risk (CVaR) as the risk measure. The viability of the model is tested through a numerical study. ©2010 IEEE.en_HK
dc.languageengen_US
dc.publisherIEEE.-
dc.relation.ispartofIEEE PES General Meeting, PES 2010en_HK
dc.rightsIEEE Power and Energy Society General Meeting Proceedings. Copyright © IEEE.-
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rights©2010 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.-
dc.subjectCommodity swapsen_HK
dc.subjectElectricity futuresen_HK
dc.subjectElectricity optionsen_HK
dc.subjectPower portfolioen_HK
dc.subjectValue at risken_HK
dc.titlePower portfolio optimization with traded contract productsen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailWu, FF: ffwu@eee.hku.hken_HK
dc.identifier.authorityWu, FF=rp00194en_HK
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.1109/PES.2010.5589561en_HK
dc.identifier.scopuseid_2-s2.0-78649570363en_HK
dc.identifier.hkuros177880en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-78649570363&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.spage1-
dc.identifier.epage6-
dc.description.otherThe 2010 IEEE Power and Energy Society General Meeting, Minneapolis, MN., 25-29 July 2010. In Conference Proceedings, 2010, p. 1-6-
dc.identifier.scopusauthoridSun, Y=36006577400en_HK
dc.identifier.scopusauthoridWu, FF=7403465107en_HK
dc.identifier.scopusauthoridZhou, H=7404742185en_HK

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