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Article: The mean-WCVaR based model for LDC's optimal portfolio in multi-energy markets

TitleThe mean-WCVaR based model for LDC's optimal portfolio in multi-energy markets
Authors
Keywordsefficient frontier
electricity market
LDC
purchasing portfolio
risk measurement
WCVaR
Issue Date2012
PublisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www.etep.de
Citation
European Transactions On Electrical Power, 2012, v. 22 n. 3, p. 364-377 How to Cite?
AbstractIn a competitive electricity market with highly fluctuated electricity price, local distribution companies (LDCs) need to purchase electric power from several energy markets, such as spot markets, long-term tolling agreements and forward contracts, to maximize profits and minimize risks. Conditional Value-at-Risk (CVaR) can measure risk efficiently, but only one kind of price distribution rule may be considered. In fact, the spot electricity price usually does not follow the normal distribution, and it might be shown as logarithmic normal distribution if there was no enough supply at peak load situation. In this paper, a novel WCVaR method-Weighted Conditional Value-at-Risk-is proposed to measure the purchasing risk of LDC with multiple purchase options, especially when the electricity price follows more than one distribution rules. The Mean-WCVaR model is built as a mathematical programing problem to derive the efficient frontier that indicates the optimal tradeoffs available to LDC between expected revenue and purchasing risk in several energy markets. The existence of optimal solution of proposed WCVaR model is proved mathematically. Simulation results show the efficiency of the proposed model. The proposed model provides a new method for LDC to determine the optimal purchasing strategies considering the risk. Copyright © 2011 John Wiley & Sons, Ltd. Copyright © 2011 John Wiley & Sons, Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/133613
ISSN
2014 Impact Factor: 0.886
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorLiu, Hen_HK
dc.contributor.authorHou, Yen_HK
dc.date.accessioned2011-05-24T02:12:00Z-
dc.date.available2011-05-24T02:12:00Z-
dc.date.issued2012en_HK
dc.identifier.citationEuropean Transactions On Electrical Power, 2012, v. 22 n. 3, p. 364-377en_HK
dc.identifier.issn1430-144Xen_HK
dc.identifier.urihttp://hdl.handle.net/10722/133613-
dc.description.abstractIn a competitive electricity market with highly fluctuated electricity price, local distribution companies (LDCs) need to purchase electric power from several energy markets, such as spot markets, long-term tolling agreements and forward contracts, to maximize profits and minimize risks. Conditional Value-at-Risk (CVaR) can measure risk efficiently, but only one kind of price distribution rule may be considered. In fact, the spot electricity price usually does not follow the normal distribution, and it might be shown as logarithmic normal distribution if there was no enough supply at peak load situation. In this paper, a novel WCVaR method-Weighted Conditional Value-at-Risk-is proposed to measure the purchasing risk of LDC with multiple purchase options, especially when the electricity price follows more than one distribution rules. The Mean-WCVaR model is built as a mathematical programing problem to derive the efficient frontier that indicates the optimal tradeoffs available to LDC between expected revenue and purchasing risk in several energy markets. The existence of optimal solution of proposed WCVaR model is proved mathematically. Simulation results show the efficiency of the proposed model. The proposed model provides a new method for LDC to determine the optimal purchasing strategies considering the risk. Copyright © 2011 John Wiley & Sons, Ltd. Copyright © 2011 John Wiley & Sons, Ltd.en_HK
dc.languageengen_US
dc.publisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www.etep.deen_HK
dc.relation.ispartofEuropean Transactions on Electrical Poweren_HK
dc.rightsEuropean Transactions on Electrical Power. Copyright © John Wiley & Sons Ltd..-
dc.rightsSpecial Statement for Preprint only Before publication: 'This is a preprint of an article accepted for publication in [The Journal of Pathology] Copyright © ([year]) ([Pathological Society of Great Britain and Ireland])'. After publication: the preprint notice should be amended to follows: 'This is a preprint of an article published in [include the complete citation information for the final version of the Contribution as published in the print edition of the Journal]' For Cochrane Library/ Cochrane Database of Systematic Reviews, add statement & acknowledgement : ‘This review is published as a Cochrane Review in the Cochrane Database of Systematic Reviews 20XX, Issue X. Cochrane Reviews are regularly updated as new evidence emerges and in response to comments and criticisms, and the Cochrane Database of Systematic Reviews should be consulted for the most recent version of the Review.’ Please include reference to the Review and hyperlink to the original version using the following format e.g. Authors. Title of Review. Cochrane Database of Systematic Reviews 20XX, Issue #. Art. No.: CD00XXXX. DOI: 10.1002/14651858.CD00XXXX (insert persistent link to the article by using the URL: http://dx.doi.org/10.1002/14651858.CD00XXXX) (This statement should refer to the most recent issue of the Cochrane Database of Systematic Reviews in which the Review published.)-
dc.subjectefficient frontieren_HK
dc.subjectelectricity marketen_HK
dc.subjectLDCen_HK
dc.subjectpurchasing portfolioen_HK
dc.subjectrisk measurementen_HK
dc.subjectWCVaRen_HK
dc.titleThe mean-WCVaR based model for LDC's optimal portfolio in multi-energy marketsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1430-144X&volume=&spage=&epage=&date=2011&atitle=The+mean-WCVaR-Based+model+for+LDC’s+optimal+portfolio+in+multi-energy+markets-
dc.identifier.emailHou, Y:yhhou@eee.hku.hken_HK
dc.identifier.authorityHou, Y=rp00069en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1002/etep.567en_HK
dc.identifier.scopuseid_2-s2.0-84860231751en_HK
dc.identifier.hkuros185131en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84860231751&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume22en_HK
dc.identifier.issue3en_HK
dc.identifier.spage364en_HK
dc.identifier.epage377en_HK
dc.identifier.eissn2050-7038-
dc.identifier.isiWOS:000303047200007-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLiu, H=36084983700en_HK
dc.identifier.scopusauthoridHou, Y=7402198555en_HK

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