Mean-risk optimization of electricity portfolios
Please always quote using this URN:urn:nbn:de:0296-matheon-2169
- We present a mathematical model with stochastic input data for mean-risk optimization of electricity portfolios containing several physical components and energy derivative products. The model is designed for a medium term optimization horizon of one year in hourly discretization. With the objective of maximization of the mean book value of the portfolio at the end of optimization horizon simultaneously several risk measures are taken into account. We present numerical results for a largescale realistic problem adapted to a municipal utility and study the effects of varying weighting of risk on the book value of the portfolio during the whole time horizon.
Author: | Andreas Eichhorn, Nicole Gröwe-Kuska, Andrea Liebscher, Werner Römisch, Isabel Wegner |
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URN: | urn:nbn:de:0296-matheon-2169 |
Referee: | Fredi Tröltzsch |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2005/01/26 |
Release Date: | 2005/01/25 |
Institute: | Humboldt-Universität zu Berlin |
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS) | |
Preprint Number: | 208 |