Article: Supplier asset allocation in a pool-based electricity market

File Download Links for fulltext
(May Require Subscription)
Supplementary

  • Basic View
  • Metadata View
  • XML View
TitleSupplier asset allocation in a pool-based electricity market
AuthorsFeng, D2
Gan, D2
Zhong, J1
Ni, Y1
KeywordsAssets allocation
Electricity market
Portfolio selection
Risk management
Issue Date2007
PublisherI E E E. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/RecentIssue.jsp?punumber=59
CitationIeee Transactions On Power Systems, 2007, v. 22 n. 3, p. 1129-1138 [How to Cite?]
DOI: http://dx.doi.org/10.1109/TPWRS.2007.901282
AbstractA power supplier in a pool-based market needs to allocate his generation capacities to participate in contract and spot markets. In this paper, the optimal portfolio selection theory is introduced for this purpose. A model applying this theory is proposed to solve the supplier asset allocation problem. Real market data are used in a numerical study to test the proposed model. The results show that different asset allocation solutions can yield very different risk-return tradeoffs for a supplier, and the proposed method can be potentially useful in suppliers' decision making. © 2007 IEEE.
ISSN0885-8950
2011 Impact Factor: 2.678
2011 SCImago Journal Rankings: 0.082
DOIhttp://dx.doi.org/10.1109/TPWRS.2007.901282
ReferencesReferences in Scopus
DC Field
Value
dc.contributor.authorFeng, D
dc.contributor.authorGan, D
dc.contributor.authorZhong, J
dc.contributor.authorNi, Y
dc.date.accessioned2010-04-12T01:38:02Z
dc.date.available2010-04-12T01:38:02Z
dc.date.issued2007
dc.description.abstractA power supplier in a pool-based market needs to allocate his generation capacities to participate in contract and spot markets. In this paper, the optimal portfolio selection theory is introduced for this purpose. A model applying this theory is proposed to solve the supplier asset allocation problem. Real market data are used in a numerical study to test the proposed model. The results show that different asset allocation solutions can yield very different risk-return tradeoffs for a supplier, and the proposed method can be potentially useful in suppliers' decision making. © 2007 IEEE.
dc.description.naturepublished_or_final_version
dc.identifier.citationIeee Transactions On Power Systems, 2007, v. 22 n. 3, p. 1129-1138 [How to Cite?]
DOI: http://dx.doi.org/10.1109/TPWRS.2007.901282
dc.identifier.doihttp://dx.doi.org/10.1109/TPWRS.2007.901282
dc.identifier.epage1138
dc.identifier.hkuros130811
dc.identifier.isiWOS:000248352100028
dc.identifier.issn0885-8950
2011 Impact Factor: 2.678
2011 SCImago Journal Rankings: 0.082
dc.identifier.issue3
dc.identifier.openurl
dc.identifier.scopuseid_2-s2.0-34548017678
dc.identifier.spage1129
dc.identifier.urihttp://hdl.handle.net/10722/57497
dc.identifier.volume22
dc.languageeng
dc.publisherI E E E. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/RecentIssue.jsp?punumber=59
dc.publisher.placeUnited States
dc.relation.ispartofIEEE Transactions on Power Systems
dc.relation.referencesReferences in Scopus
dc.rights©2007 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.rightsCreative Commons: Attribution 3.0 Hong Kong License
dc.subjectAssets allocation
dc.subjectElectricity market
dc.subjectPortfolio selection
dc.subjectRisk management
dc.titleSupplier asset allocation in a pool-based electricity market
dc.typeArticle
Author Affiliations
  1. The University of Hong Kong
  2. Zhejiang University