Supplier asset allocation in a pool-based electricity market

被引：27

作者：

Feng, Donghan ^{[1
]}

Gan, Deqiang ^{[1
]}

Zhong, Jin ^{[1
]}

Ni, Yixin ^{[1
]}

机构：

[1] Zhejiang Univ, Coll Elect Engn, Hangzhou 310027, Peoples R China

来源：

IEEE TRANSACTIONS ON POWER SYSTEMS | 2007年 / 22卷 / 03期

关键词：

assets allocation; electricity market; portfolio selection; risk management;

D O I：

10.1109/TPWRS.2007.901282

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

A power supplier in a pool-based market needs to allocate his generation capacities to participate in contract and spot markets. In this paper, the optimal portfolio selection theory is introduced for this purpose. A model applying this theory is proposed to solve the supplier asset allocation problem. Real market data are used in a numerical study to test the proposed model. The results show that different asset allocation solutions can yield very different risk-return tradeoffs for a supplier, and the proposed method can be potentially useful in suppliers' decision making.

引用

页码：1129 / 1138

页数：10

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