Optimal generation portfolio management for futures and spot market

Author

Guan, Xiaohong ; Wu, Jiang ; Gao, Feng ; Sun, Guoji

Author_Institution

Xian Jiaotong Univ., Shaanxi

fYear

0

fDate

0-0 0

Abstract

One of the most important decisions that a Genco has to make is to determine generation portfolio management of the spot and futures market. That is, how much capacity should be put into the futures market and how much should be kept to bid in the spot market. This paper focuses on the generation portfolio management between monthly futures market and daily spot market. It deals with the problems of optimal hedging position based on the current forward price and the forecasted hourly spot prices. The problem is formulated based on the model of PJM market and the double dynamic programming method developed in our previous work is applied to solve this optimal portfolio management problem with all the short term operating constraints satisfied. Numerical testing results show that this method is efficient and optimal generation portfolio is obtained based on current futures price and forecasted spot market prices

Keywords

dynamic programming; power generation economics; power markets; Genco; daily spot market; double dynamic programming method; generation portfolio management; monthly futures market; Asset management; Costs; Dynamic programming; Economic forecasting; Energy management; Forward contracts; Portfolios; Power generation; Risk management; Testing; Futures contract; Generation asset allocation; Generation portfolio management; Power market; Unit commitment;

fLanguage

English

Publisher

ieee

Conference_Titel

Power Engineering Society General Meeting, 2006. IEEE

Conference_Location

Montreal, Que.

Print_ISBN

1-4244-0493-2

Type

conf

DOI

10.1109/PES.2006.1709435

Filename

1709435