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Article: A mean-weighted CVaR model for distribution company's optimal portfolio in multi-energy markets
Title | A mean-weighted CVaR model for distribution company's optimal portfolio in multi-energy markets |
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Authors | |
Keywords | Distribution Company Electricity Market Purchasing Portfolio Risk Measurement Weighted Conditional Value-At-Risk(Wcvar) |
Issue Date | 2010 |
Publisher | Power System Technology Press. The Journal's web site is located at http://www.dwjs.com.cn/ |
Citation | Dianwang Jishu/Power System Technology, 2010, v. 34 n. 9, p. 133-138 How to Cite? |
Abstract | In transmission and distribution separated electricity markets, with the highly fluctuant price, distribution companies need to purchase electric power reasonably in several energy markets such as spot markets, long-term tolling agreements and forward contracts etc. to realize profit maximum and risk minimum. Conditional value-at-risk (CVaR) might measure risk efficiently, with only one kind of price distribution considered. In case of existence of more price distributions, e.g. logarithmic normal distribution, a method called weighted CVaR (WCVaR) to measure the purchasing risk of the distribution company is proposed in this paper. A mean-WCVaR model is built to measure the profit and risk in the purchasing process as a mathematical programming problem to derive the efficient frontier that indicates the optimal tradeoffs available to distribution company between expected revenue and purchasing risk in several energy markets. Lastly, a simulation case is carried out to prove the efficiency of the proposed model, which paves a new way for distribution company to determine the optimal purchasing strategies considering the risk. |
Persistent Identifier | http://hdl.handle.net/10722/155598 |
ISSN | 2023 SCImago Journal Rankings: 0.975 |
References |
DC Field | Value | Language |
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dc.contributor.author | Liu, H | en_US |
dc.contributor.author | Han, M | en_US |
dc.contributor.author | Hou, Y | en_US |
dc.contributor.author | Lu, J | en_US |
dc.contributor.author | Chen, J | en_US |
dc.date.accessioned | 2012-08-08T08:34:17Z | - |
dc.date.available | 2012-08-08T08:34:17Z | - |
dc.date.issued | 2010 | en_US |
dc.identifier.citation | Dianwang Jishu/Power System Technology, 2010, v. 34 n. 9, p. 133-138 | en_US |
dc.identifier.issn | 1000-3673 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/155598 | - |
dc.description.abstract | In transmission and distribution separated electricity markets, with the highly fluctuant price, distribution companies need to purchase electric power reasonably in several energy markets such as spot markets, long-term tolling agreements and forward contracts etc. to realize profit maximum and risk minimum. Conditional value-at-risk (CVaR) might measure risk efficiently, with only one kind of price distribution considered. In case of existence of more price distributions, e.g. logarithmic normal distribution, a method called weighted CVaR (WCVaR) to measure the purchasing risk of the distribution company is proposed in this paper. A mean-WCVaR model is built to measure the profit and risk in the purchasing process as a mathematical programming problem to derive the efficient frontier that indicates the optimal tradeoffs available to distribution company between expected revenue and purchasing risk in several energy markets. Lastly, a simulation case is carried out to prove the efficiency of the proposed model, which paves a new way for distribution company to determine the optimal purchasing strategies considering the risk. | en_US |
dc.language | eng | en_US |
dc.publisher | Power System Technology Press. The Journal's web site is located at http://www.dwjs.com.cn/ | en_US |
dc.relation.ispartof | Dianwang Jishu/Power System Technology | en_US |
dc.subject | Distribution Company | en_US |
dc.subject | Electricity Market | en_US |
dc.subject | Purchasing Portfolio | en_US |
dc.subject | Risk Measurement | en_US |
dc.subject | Weighted Conditional Value-At-Risk(Wcvar) | en_US |
dc.title | A mean-weighted CVaR model for distribution company's optimal portfolio in multi-energy markets | en_US |
dc.type | Article | en_US |
dc.identifier.email | Hou, Y:yhhou@eee.hku.hk | en_US |
dc.identifier.authority | Hou, Y=rp00069 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.scopus | eid_2-s2.0-78651561421 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-78651561421&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 34 | en_US |
dc.identifier.issue | 9 | en_US |
dc.identifier.spage | 133 | en_US |
dc.identifier.epage | 138 | en_US |
dc.publisher.place | China | en_US |
dc.identifier.scopusauthorid | Liu, H=36084983700 | en_US |
dc.identifier.scopusauthorid | Han, M=36806045200 | en_US |
dc.identifier.scopusauthorid | Hou, Y=7402198555 | en_US |
dc.identifier.scopusauthorid | Lu, J=36806463900 | en_US |
dc.identifier.scopusauthorid | Chen, J=36805449100 | en_US |
dc.identifier.issnl | 1000-3673 | - |