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Article: Supplier asset allocation in a pool-based electricity market

TitleSupplier asset allocation in a pool-based electricity market
Authors
Feng, DGan, DZhong, JNi, Y
KeywordsAssets allocation
Electricity market
Portfolio selection
Risk management
Issue Date2007
PublisherI E E E. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/RecentIssue.jsp?punumber=59
Citation
Ieee Transactions On Power Systems, 2007, v. 22 n. 3, p. 1129-1138 How to Cite?
DOI: http://dx.doi.org/10.1109/TPWRS.2007.901282
AbstractA 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. © 2007 IEEE.
Persistent Identifierhttp://hdl.handle.net/10722/57497
ISSN
0885-8950
2021 Impact Factor: 7.326
2020 SCImago Journal Rankings: 3.312
ISI Accession Number ID
WOS:000248352100028
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorFeng, Den_HK
dc.contributor.authorGan, Den_HK
dc.contributor.authorZhong, Jen_HK
dc.contributor.authorNi, Yen_HK
dc.date.accessioned2010-04-12T01:38:02Z-
dc.date.available2010-04-12T01:38:02Z-
dc.date.issued2007en_HK
dc.identifier.citationIeee Transactions On Power Systems, 2007, v. 22 n. 3, p. 1129-1138en_HK
dc.identifier.issn0885-8950en_HK
dc.identifier.urihttp://hdl.handle.net/10722/57497-
dc.description.abstractA 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. © 2007 IEEE.en_HK
dc.languageengen_HK
dc.publisherI E E E. The Journal's web site is located at http://ieeexplore.ieee.org/xpl/RecentIssue.jsp?punumber=59en_HK
dc.relation.ispartofIEEE Transactions on Power Systemsen_HK
dc.rights©2007 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.-
dc.subjectAssets allocationen_HK
dc.subjectElectricity marketen_HK
dc.subjectPortfolio selectionen_HK
dc.subjectRisk managementen_HK
dc.titleSupplier asset allocation in a pool-based electricity marketen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0885-8950&volume=22&issue=3&spage=1129&epage=1138&date=2007&atitle=Supplier+asset+allocation+in+a+pool-based+electricity+marketen_HK
dc.identifier.emailZhong, J: jinzhong@hkucc.hku.hken_HK
dc.identifier.emailNi, Y: yxni@eee.hku.hken_HK
dc.identifier.authorityZhong, J=rp00212en_HK
dc.identifier.authorityNi, Y=rp00161en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.doi10.1109/TPWRS.2007.901282en_HK
dc.identifier.scopuseid_2-s2.0-34548017678en_HK
dc.identifier.hkuros130811-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-34548017678&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume22en_HK
dc.identifier.issue3en_HK
dc.identifier.spage1129en_HK
dc.identifier.epage1138en_HK
dc.identifier.isiWOS:000248352100028-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridFeng, D=7401981343en_HK
dc.identifier.scopusauthoridGan, D=7005499404en_HK
dc.identifier.scopusauthoridZhong, J=13905948700en_HK
dc.identifier.scopusauthoridNi, Y=7402910021en_HK
dc.identifier.issnl0885-8950-

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