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Article: Supplier asset allocation in a pool-based electricity market
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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
2012 Impact Factor: 2.921
2012 SCImago Journal Rankings: 2.837
 
DOIhttp://dx.doi.org/10.1109/TPWRS.2007.901282
 
ISI Accession Number IDWOS:000248352100028
 
ReferencesReferences in Scopus
 
DC FieldValue
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
2012 Impact Factor: 2.921
2012 SCImago Journal Rankings: 2.837
 
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
 
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<contributor.author>Ni, Y</contributor.author>
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<subject>Assets allocation</subject>
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Author Affiliations
  1. The University of Hong Kong
  2. Zhejiang University