Optimisation of physical and financial power purchase portfolios

The deregulation of the European power market brings new sales prospects for the power-suppliers as well as an appreciable increase of entrepreneurial risks. In order to handle the novel price- and volume-risks, the optimisation of decision-making under uncertain boundary conditions is of essential interest. The former task of resource management in energy-supply was the minimisation of costs for the fulfilment of a forseeable power-request at long-ranging conditions of pricing. Now a multicriterial optimisation problem arises: simultaneous minimisation of cost and risk. In the last years a number of power-exchanges have been established where power is physically traded day-ahead and derivatively as future contracts. Furthermore, financial power-derivatives like Options, Caps, Floors or Swaps are traded bilateral in the so-called over-the-counter market. A serious question is how to use different physical contracts and financial derivatives in an optimal way to protect a power purchase portfolio against market risks.