Hedging electricity portfolios via stochastic programming

被引：0
|
作者：
Fleten, SE [1 ]
Wallace, SW [1 ]
Ziemba, WT [1 ]
机构：
[1] Norwegian Univ Sci & Technol, Dept Ind Econ & Technol Management, NO-7491 Trondheim, Norway
来源：
DECICSION MAKING UNDER UNCERTAINTY: ENERGY AND POWER | 2002年 / 128卷
关键词：
stochastic programming; hydro scheduling; risk management; deregulated electricity markets;
D O I：
暂无
中图分类号：
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号：
0807 ; 0820 ;
摘要：
Electricity producers participating in the Nordic wholesale-level market face significant uncertainty in inflow to reservoirs and prices in the spot and contract markets. Taking the view of a single risk-averse producer, we propose a stochastic programming model for the coordination of physical generation resources with hedging through the forward and option market. Numerical results are presented for a five-stage, 256 scenario model that has a two year horizon.
引用
收藏
页码：71 / 93
页数：23
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