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- W2041320445 abstract "This paper presents a medium term power portfolio optimization model for a power producer in a competitive electricity market, considering locational electricity prices and risk management. The methodology developed includes modeling the multivariate stochastic evolution of locational electricity prices, the construction of a scenario tree that represents this evolution, and the formulation and solution of a stochastic optimization model. Using this methodology a power producer holding thermal generating units in more than one location may maximize expected profit while keeping a limited risk exposure. The model considers the possibility of trading electricity forward contracts in different locations and contracts for difference. In addition, its output includes amounts of electricity transactions in locational spot markets and power production in generating units. The computational experiments performed indicate that the correlation between locational electricity prices is very relevant for power producers holding generating units in those locations, since it significantly affects the relation between expected profit and risk." @default.
- W2041320445 created "2016-06-24" @default.
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- W2041320445 date "2014-04-01" @default.
- W2041320445 modified "2023-10-05" @default.
- W2041320445 title "Power portfolio optimization considering locational electricity prices and risk management" @default.
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- W2041320445 doi "https://doi.org/10.1016/j.epsr.2013.12.004" @default.
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