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Article: Cost and risk management for a local distribution company in purchasing electricity

TitleCost and risk management for a local distribution company in purchasing electricity
Authors
Keywordsconditional value at risk (CVaR)
efficient frontier
electricity market
electricity procurement
portfolio optimization
risk management
Issue Date2010
PublisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www.etep.de
Citation
European Transactions On Electrical Power, 2010, v. 20 n. 8, p. 1101-1113 How to Cite?
AbstractIn the competitive electricity markets, the allocation of electricity among multi-markets for purchasers is worth concerning. Based on the portfolio optimization theory in the field of financial risk, a novel optimal electricity-procurement model for the local distribution company (LDC) is presented, which can synthetically consider the risk and expected purchase cost. For the purpose of risk assessment, the conditional value at risk (CVaR) is implemented. This model is applied to determine the electricity allocation and efficient frontiers for the LDC among three markets. Then it is compared with the mean-variance model. Simulation results demonstrate that the proposed model can guarantee the LDC to bear the minimum CVaR risk within an acceptable expected procurement cost. It provides an effective way for the LDC to manage the cost and risk in electricity-purchase decision. Copyright © 2009 John Wiley & Sons, Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/155591
ISSN
2014 Impact Factor: 0.886
ISI Accession Number ID
Funding AgencyGrant Number
Natural Science Foundation of ChinaNSFC 60474048
90612018
Funding Information:

The authors gratefully acknowledge the support of Natural Science Foundation of China (NSFC 60474048, 90612018).

References

 

DC FieldValueLanguage
dc.contributor.authorHailun, Hen_HK
dc.contributor.authorYan, Zen_HK
dc.contributor.authorWu, FFen_HK
dc.contributor.authorHou, Yen_HK
dc.date.accessioned2012-08-08T08:34:15Z-
dc.date.available2012-08-08T08:34:15Z-
dc.date.issued2010en_HK
dc.identifier.citationEuropean Transactions On Electrical Power, 2010, v. 20 n. 8, p. 1101-1113en_HK
dc.identifier.issn1430-144Xen_HK
dc.identifier.urihttp://hdl.handle.net/10722/155591-
dc.description.abstractIn the competitive electricity markets, the allocation of electricity among multi-markets for purchasers is worth concerning. Based on the portfolio optimization theory in the field of financial risk, a novel optimal electricity-procurement model for the local distribution company (LDC) is presented, which can synthetically consider the risk and expected purchase cost. For the purpose of risk assessment, the conditional value at risk (CVaR) is implemented. This model is applied to determine the electricity allocation and efficient frontiers for the LDC among three markets. Then it is compared with the mean-variance model. Simulation results demonstrate that the proposed model can guarantee the LDC to bear the minimum CVaR risk within an acceptable expected procurement cost. It provides an effective way for the LDC to manage the cost and risk in electricity-purchase decision. Copyright © 2009 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.subjectconditional value at risk (CVaR)en_HK
dc.subjectefficient frontieren_HK
dc.subjectelectricity marketen_HK
dc.subjectelectricity procurementen_HK
dc.subjectportfolio optimizationen_HK
dc.subjectrisk managementen_HK
dc.titleCost and risk management for a local distribution company in purchasing electricityen_HK
dc.typeArticleen_HK
dc.identifier.emailWu, FF: ffwu@eee.hku.hken_HK
dc.identifier.emailHou, Y: yhhou@hku.hken_HK
dc.identifier.authorityWu, FF=rp00194en_HK
dc.identifier.authorityHou, Y=rp00069en_HK
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1002/etep.387en_HK
dc.identifier.scopuseid_2-s2.0-78649666586en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-78649666586&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume20en_HK
dc.identifier.issue8en_HK
dc.identifier.spage1101en_HK
dc.identifier.epage1113en_HK
dc.identifier.isiWOS:000285211900009-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridHailun, H=26430841300en_HK
dc.identifier.scopusauthoridYan, Z=7402519416en_HK
dc.identifier.scopusauthoridWu, FF=7403465107en_HK
dc.identifier.scopusauthoridHou, Y=7402198555en_HK

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