The optimal portfolio of the day-ahead market and real-time market for the load serving entities

With the deregulation of the electric utilities, load serving entities face more financial risk. Load serving entities serve retail customers by contracts, which are structured to shield the customers from any fluctuation from the wholesale price of electricity. The financial risk from the wholesale market must therefore be absorbed by the load serving entities. This paper will consider that the load serving entities obtain power energy by participating in the day-ahead market, real-time market, and electricity contracts, and propose an investment model for load serving entities to determine their ratios. Therefore, this paper will build a mathematic model to determine the optimal portfolio that load serving entities invest in the day-ahead market and real-time market with or without the electricity contracts. These results will help the load serving entities to find a balance between the benefit and risk.