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Article: A mean-weighted CVaR model for distribution company's optimal portfolio in multi-energy markets

TitleA mean-weighted CVaR model for distribution company's optimal portfolio in multi-energy markets
Authors
KeywordsDistribution Company
Electricity Market
Purchasing Portfolio
Risk Measurement
Weighted Conditional Value-At-Risk(Wcvar)
Issue Date2010
PublisherPower System Technology Press. The Journal's web site is located at http://www.dwjs.com.cn/
Citation
Dianwang Jishu/Power System Technology, 2010, v. 34 n. 9, p. 133-138 How to Cite?
AbstractIn transmission and distribution separated electricity markets, with the highly fluctuant price, distribution companies need to purchase electric power reasonably in several energy markets such as spot markets, long-term tolling agreements and forward contracts etc. to realize profit maximum and risk minimum. Conditional value-at-risk (CVaR) might measure risk efficiently, with only one kind of price distribution considered. In case of existence of more price distributions, e.g. logarithmic normal distribution, a method called weighted CVaR (WCVaR) to measure the purchasing risk of the distribution company is proposed in this paper. A mean-WCVaR model is built to measure the profit and risk in the purchasing process as a mathematical programming problem to derive the efficient frontier that indicates the optimal tradeoffs available to distribution company between expected revenue and purchasing risk in several energy markets. Lastly, a simulation case is carried out to prove the efficiency of the proposed model, which paves a new way for distribution company to determine the optimal purchasing strategies considering the risk.
Persistent Identifierhttp://hdl.handle.net/10722/155598
ISSN
2015 SCImago Journal Rankings: 0.684
References

 

DC FieldValueLanguage
dc.contributor.authorLiu, Hen_US
dc.contributor.authorHan, Men_US
dc.contributor.authorHou, Yen_US
dc.contributor.authorLu, Jen_US
dc.contributor.authorChen, Jen_US
dc.date.accessioned2012-08-08T08:34:17Z-
dc.date.available2012-08-08T08:34:17Z-
dc.date.issued2010en_US
dc.identifier.citationDianwang Jishu/Power System Technology, 2010, v. 34 n. 9, p. 133-138en_US
dc.identifier.issn1000-3673en_US
dc.identifier.urihttp://hdl.handle.net/10722/155598-
dc.description.abstractIn transmission and distribution separated electricity markets, with the highly fluctuant price, distribution companies need to purchase electric power reasonably in several energy markets such as spot markets, long-term tolling agreements and forward contracts etc. to realize profit maximum and risk minimum. Conditional value-at-risk (CVaR) might measure risk efficiently, with only one kind of price distribution considered. In case of existence of more price distributions, e.g. logarithmic normal distribution, a method called weighted CVaR (WCVaR) to measure the purchasing risk of the distribution company is proposed in this paper. A mean-WCVaR model is built to measure the profit and risk in the purchasing process as a mathematical programming problem to derive the efficient frontier that indicates the optimal tradeoffs available to distribution company between expected revenue and purchasing risk in several energy markets. Lastly, a simulation case is carried out to prove the efficiency of the proposed model, which paves a new way for distribution company to determine the optimal purchasing strategies considering the risk.en_US
dc.languageengen_US
dc.publisherPower System Technology Press. The Journal's web site is located at http://www.dwjs.com.cn/en_US
dc.relation.ispartofDianwang Jishu/Power System Technologyen_US
dc.subjectDistribution Companyen_US
dc.subjectElectricity Marketen_US
dc.subjectPurchasing Portfolioen_US
dc.subjectRisk Measurementen_US
dc.subjectWeighted Conditional Value-At-Risk(Wcvar)en_US
dc.titleA mean-weighted CVaR model for distribution company's optimal portfolio in multi-energy marketsen_US
dc.typeArticleen_US
dc.identifier.emailHou, Y:yhhou@eee.hku.hken_US
dc.identifier.authorityHou, Y=rp00069en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.scopuseid_2-s2.0-78651561421en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-78651561421&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume34en_US
dc.identifier.issue9en_US
dc.identifier.spage133en_US
dc.identifier.epage138en_US
dc.publisher.placeChinaen_US
dc.identifier.scopusauthoridLiu, H=36084983700en_US
dc.identifier.scopusauthoridHan, M=36806045200en_US
dc.identifier.scopusauthoridHou, Y=7402198555en_US
dc.identifier.scopusauthoridLu, J=36806463900en_US
dc.identifier.scopusauthoridChen, J=36805449100en_US

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