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Mean-risk optimization models for electricity portfolio management

Please always quote using this URN:urn:nbn:de:0296-matheon-3337
  • The possibility of controlling risk in stochastic power optimization by incorporating special risk functionals, so-called polyhedral risk measures, into the objective is demonstrated. We present an exemplary optimization model for mean-risk optimization of an electricity portfolios of a price-taking retailer. Stochasticity enters the model via uncertain electricity demand, heat demand, spot prices, and future prices. The objective is to maximize the expected overall revenue and, simultaneously, to minimize risk in terms of multiperiod risk measures, i.e., risk measures that take into account intermediate cash values in order to avoid liquidity problems at any time. We compare the effect of different multiperiod polyhedral risk measures that had been suggested in our earlier work.

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Metadaten
Author:Andreas Eichhorn, Werner Römisch
URN:urn:nbn:de:0296-matheon-3337
Referee:Fredi Tröltzsch
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2006/04/24
Release Date:2006/04/19
Tag:
Institute:Humboldt-Universität zu Berlin
Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
MSC-Classification:90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Bxx Operations research and management science / 90B50 Management decision making, including multiple objectives [See also 90C31, 91A35, 91B06]
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Bxx Mathematical economics (For econometrics, see 62P20) / 91B30 Risk theory, insurance
Preprint Number:326
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