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

页码：71 / 93

页数：23

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