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Conference Paper: Correlation matrices estimation in energy portfolio optimization

TitleCorrelation matrices estimation in energy portfolio optimization
Authors
KeywordsCorrelation matrices
Electricity market
Portfolio optimization
Risk management
Issue Date2008
Citation
2008 IEEE Power and Energy Society General Meeting - Conversion and Delivery of Electrical Energy in the 21st Century, Pittsburgh, PA, 20-24 July 2008, p. 1-6 How to Cite?
AbstractWith the development of electricity markets, the importance of risk management has been widely realized by market participants. Energy portfolio optimization, i.e., diversification of energy trading, is one of the important risk control approach for market participants to maximize their profits and keep the associated risk at an acceptable level. One of the key steps to the energy portfolio optimization is the estimation of correlation matrices. This paper proposed a singlefactor model to estimate the correlation matrices which reduces the proceeding of data to a large extent compared to general statistical method. Based on the historical data of the PJM market, simulation results confirm the efficiency of the proposed model. © 2008 IEEE.
Persistent Identifierhttp://hdl.handle.net/10722/62050
ISBN
ISSN
References

 

DC FieldValueLanguage
dc.contributor.authorLiu, Men_HK
dc.contributor.authorWu, FFen_HK
dc.date.accessioned2010-07-13T03:52:52Z-
dc.date.available2010-07-13T03:52:52Z-
dc.date.issued2008en_HK
dc.identifier.citation2008 IEEE Power and Energy Society General Meeting - Conversion and Delivery of Electrical Energy in the 21st Century, Pittsburgh, PA, 20-24 July 2008, p. 1-6en_HK
dc.identifier.isbn978-1-4244-1905-0-
dc.identifier.issn1932-5517-
dc.identifier.urihttp://hdl.handle.net/10722/62050-
dc.description.abstractWith the development of electricity markets, the importance of risk management has been widely realized by market participants. Energy portfolio optimization, i.e., diversification of energy trading, is one of the important risk control approach for market participants to maximize their profits and keep the associated risk at an acceptable level. One of the key steps to the energy portfolio optimization is the estimation of correlation matrices. This paper proposed a singlefactor model to estimate the correlation matrices which reduces the proceeding of data to a large extent compared to general statistical method. Based on the historical data of the PJM market, simulation results confirm the efficiency of the proposed model. © 2008 IEEE.en_HK
dc.languageengen_HK
dc.relation.ispartofIEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PESen_HK
dc.subjectCorrelation matricesen_HK
dc.subjectElectricity marketen_HK
dc.subjectPortfolio optimizationen_HK
dc.subjectRisk managementen_HK
dc.titleCorrelation matrices estimation in energy portfolio optimizationen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailWu, FF: ffwu@eee.hku.hken_HK
dc.identifier.authorityWu, FF=rp00194en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1109/PES.2008.4596170en_HK
dc.identifier.scopuseid_2-s2.0-52349122935en_HK
dc.identifier.hkuros162426en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-52349122935&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.scopusauthoridLiu, M=36014543100en_HK
dc.identifier.scopusauthoridWu, FF=7403465107en_HK

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