Optimal portfolio selection for generators in the electricity market

Yin, Xia, Dong, Zhao Yang and Saha, Tapan Kumar (2008). Optimal portfolio selection for generators in the electricity market. In: Kalyan Sen, Power and Energy Society General Meeting - Conversion and Delivery of Electrical Energy in the 21st Century, 2008 IEEE. 2008 IEEE Power Energy Society General Meeting: Conversion and Delivery of Electrical Energy in 21st Century, Pittsburgh, PA, USA, (1-7). 20-24 July 2008. doi:10.1109/PES.2008.4596626


Author Yin, Xia
Dong, Zhao Yang
Saha, Tapan Kumar
Title of paper Optimal portfolio selection for generators in the electricity market
Conference name 2008 IEEE Power Energy Society General Meeting: Conversion and Delivery of Electrical Energy in 21st Century
Conference location Pittsburgh, PA, USA
Conference dates 20-24 July 2008
Convener Dave Vaglia
Proceedings title Power and Energy Society General Meeting - Conversion and Delivery of Electrical Energy in the 21st Century, 2008 IEEE
Journal name 2008 Ieee Power
Series IEEE Power and Energy Society 2008 General Meeting: Conversion and Delivery of Electrical Energy in the 21st Century, PES
Place of Publication Piscataway, NJ, United States
Publisher IEEE
Publication Year 2008
Sub-type Fully published paper
DOI 10.1109/PES.2008.4596626
Open Access Status
ISBN 9781424419050
9781424419067
ISSN 1932-5517
Editor Kalyan Sen
Start page 1
End page 7
Total pages 7
Language eng
Abstract/Summary With the deregulation of global electricity industries, generators are facing a problem of designing the optimal portfolio, which is made up of a variety of markets and contracts, in a competitive electricity market. Theoretically, the portfolio selection problem can be solved by allocating generation capacities to proper markets and financial contracts, so as to obtain the optimal trade-off between the portfolio return and risk. In this paper, we propose a novel approach which can well solve the generator portfolio selection problem. Considering different planning horizons in practice, the problem can be converted into two sub-problems, which are long term portfolio selection and short term portfolio selection. The mathematical formulations of different asset returns for both the long term and short term portfolio selection have been derived. To model the highly volatile spot market price, a time varying volatility model is introduced. The portfolio selection problem is finally formulated as an optimization problem, which can be solved by the Differential Evolution algorithm. The proposed method is tested with real market data. Cased studies further validate its effectiveness by real market data and demonstrate its promising performance achieved.
Subjects 2102 Energy Engineering and Power Technology
2208 Electrical and Electronic Engineering
Keyword Portfolio selection
Spot electricity market
Forward contract
Futures contract
Q-Index Code E1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Conference Paper
Sub-type: Fully published paper
Collections: 2009 Higher Education Research Data Collection
School of Information Technology and Electrical Engineering Publications
 
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Created: Sun, 05 Apr 2009, 21:37:28 EST by Donna Clark on behalf of School of Information Technol and Elec Engineering