An efficient frontier analysis for the GenCo multi-trading strategy: Part two algorithm design

Abstract

In a deregulated environment, rationally diversifying the generation capacity in different trading types can help generation companies (GenCos) increase return and control risk. With regard to the difficulty in choosing a proper weight between risk and return in the research on the GenCo multi-trading strategy (GMTS), this paper develops a new computer-aided decision making tool based on the GMTS efficient frontier. The solution methodology of GMTS efficient frontier is thoroughly studied and a practical algorithm is designed. The validity and computation speed of the proposed algorithm is tested by a case study based on real world market data. Model analysis and simulation results both show that the proposed methodology has the advantages of applicability, reliability, flexible modeling and the convenience of controlling the computation time and precision.