Spatial energy market risk analysis. II. The spatial risk model

Author

Yu, Z.

Author_Institution

Sch. of Ind. Eng., Purdue Univ., West Lafayette, IN, USA

Volume

1

fYear

2002

fDate

2002

Firstpage

33

Abstract

The paper focuses on the formulation of a spatial power market risk model based on the Markowitz semivariance method. The model is for assessing the risk of profit making of power producers in a multi-pool market setting. This is a sophisticated problem that has not been addressed sufficiently. The model also includes practical constraints such as transaction costs and wheeling contracts, leading to a mixed integer formulation. A case study is used to illustrate the successful application of the model with satisfying results.

Keywords

commerce; contracts; costing; electricity supply industry; power system economics; risk management; Markowitz semivariance method; case study; mixed integer formulation; multi-pool market setting; power producers; profit making risk; spatial energy market risk analysis; spatial power market risk model; spatial risk model; transaction costs; wheeling contracts; Capacity planning; Costs; Economic forecasting; Portfolios; Power markets; Power system modeling; Power system planning; Risk analysis; Risk management; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Power Engineering Society Winter Meeting, 2002. IEEE

Print_ISBN

0-7803-7322-7

Type

conf

DOI

10.1109/PESW.2002.984938

Filename

984938