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Article: Managing price risk in a multimarket environment

TitleManaging price risk in a multimarket environment
Authors
KeywordsElectricity market
Mean-variance portfolio theory
Risk management
Utility theory
Issue Date2006
PublisherI E E E. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/RecentIssue.jsp?punumber=59
Citation
Ieee Transactions On Power Systems, 2006, v. 21 n. 4, p. 1512-1519 How to Cite?
AbstractIn a competitive electricity market, a generation company (Genco) can manage its trading risk through trading electricity among multiple markets such as spot markets and contract markets. The question is how to decide the trading proportion of each market in order to maximize the Genco's profit and minimize the associated risk. Based on the mean-variance portfolio theory, this paper proposes a sequential optimization approach to electric energy allocation between spot and contract markets, taking into consideration the risks of electricity price, congestion charge, and fuel price. Especially, the impact of the fuel market on electric energy allocation is analyzed and simulated with historical data in respect of the electricity market and other fuel markets in the U.S. Simulation results confirm that the proposed analytic approach is consistent with intuition and therefore reasonable and feasible for a Genco to make a trading plan involving risks in an electricity market. © 2006 IEEE.
Persistent Identifierhttp://hdl.handle.net/10722/44793
ISSN
2015 Impact Factor: 3.342
2015 SCImago Journal Rankings: 4.126
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorLiu, Men_HK
dc.contributor.authorWu, FFen_HK
dc.date.accessioned2007-10-30T06:10:21Z-
dc.date.available2007-10-30T06:10:21Z-
dc.date.issued2006en_HK
dc.identifier.citationIeee Transactions On Power Systems, 2006, v. 21 n. 4, p. 1512-1519en_HK
dc.identifier.issn0885-8950en_HK
dc.identifier.urihttp://hdl.handle.net/10722/44793-
dc.description.abstractIn a competitive electricity market, a generation company (Genco) can manage its trading risk through trading electricity among multiple markets such as spot markets and contract markets. The question is how to decide the trading proportion of each market in order to maximize the Genco's profit and minimize the associated risk. Based on the mean-variance portfolio theory, this paper proposes a sequential optimization approach to electric energy allocation between spot and contract markets, taking into consideration the risks of electricity price, congestion charge, and fuel price. Especially, the impact of the fuel market on electric energy allocation is analyzed and simulated with historical data in respect of the electricity market and other fuel markets in the U.S. Simulation results confirm that the proposed analytic approach is consistent with intuition and therefore reasonable and feasible for a Genco to make a trading plan involving risks in an electricity market. © 2006 IEEE.en_HK
dc.format.extent652150 bytes-
dc.format.extent12538 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypetext/plain-
dc.languageengen_HK
dc.publisherI E E E. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/RecentIssue.jsp?punumber=59en_HK
dc.relation.ispartofIEEE Transactions on Power Systemsen_HK
dc.rights©2006 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.en_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectElectricity marketen_HK
dc.subjectMean-variance portfolio theoryen_HK
dc.subjectRisk managementen_HK
dc.subjectUtility theoryen_HK
dc.titleManaging price risk in a multimarket environmenten_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0885-8950&volume=21&issue=4&spage=1512&epage=1519&date=2006&atitle=Managing+Price+Risk+in+a+Multimarket+Environmenten_HK
dc.identifier.emailWu, FF: ffwu@eee.hku.hken_HK
dc.identifier.authorityWu, FF=rp00194en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.doi10.1109/TPWRS.2006.882455en_HK
dc.identifier.scopuseid_2-s2.0-33847635273en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33847635273&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume21en_HK
dc.identifier.issue4en_HK
dc.identifier.spage1512en_HK
dc.identifier.epage1519en_HK
dc.identifier.isiWOS:000241839700005-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridLiu, M=36014543100en_HK
dc.identifier.scopusauthoridWu, FF=7403465107en_HK

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