Managing electricity market price risk

Managing electricity market price risk

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Article ID: iaor20042677
Country: Netherlands
Volume: 145
Issue: 1
Start Page Number: 136
End Page Number: 147
Publication Date: Feb 2003
Journal: European Journal of Operational Research
Authors: ,
Keywords: risk, simulation: applications, stochastic processes
Abstract:

This paper introduces an application of financial risk management methods to the deregulated electricity markets. A framework for the Monte Carlo performance simulation of a power portfolio is presented. The optimal portfolio selection problem is addressed and a numerical method is implemented. Numerical results of simulation and optimization are presented in the Nordic electricity market. The results suggest that the risk management methods of the paper can be applied to the everyday electricity market practice.

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