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Mean-risk optimization of electricity portfolios

: Eichhorn, A.; Gröwe-Kuska, N.; Liebscher, A.; Römisch, W.; Spangardt, G.; Wegner, I.


Proceedings in applied mathematics and mechanics. PAMM 4 (2004), No.1, pp.3-6
ISSN: 1617-7061
Journal Article
Fraunhofer UMSICHT Oberhausen ()
electric utility; small and medium-sized businesses (SMB); demand for electricity; power trading; portfolio management; risk management; stochastic optimization (SO); multicriteria optimization; modelling

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 the optimization horizon of one year in hourly discretization. The aim consists in maximizing the mean book value of the portfolio at the end of the optimization horizon and, at the same time, in minimizing the risk of the portfolio decisions. The risk is measured by the conditional value-at-risk and by some multiperiod extension of CVaR, respectively. We present numerical results for a large-scale realistic problem adapted to a municipal power utility and study the effects of varying weighting of risk.