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- W2162090882 abstract "Power sector restructuring has prompted the application of modern portfolio theory among market participants. Much research has been devoted to power portfolio optimization problems. However, the portfolio composition adopted in literature is rather hypothetical than realistic. From an engineering perspective, it is necessary to use real traded contract products to construct the portfolio. In this paper, clarification is made on commonly traded power contracts in the market, followed by a discussion of their pricing schemes. It is emphasized that actively traded electricity futures/forwards and options actually belong to commodity swaps and swaptions respectively. A power portfolio is then constructed for a generation company with these basic power contracts and the spot transaction as well. An optimization model is formulated to solve the asset allocation with Conditional Value at Risk (CVaR) as the risk measure. The viability of the model is tested through a numerical study." @default.
- W2162090882 created "2016-06-24" @default.
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- W2162090882 date "2010-07-01" @default.
- W2162090882 modified "2023-09-30" @default.
- W2162090882 title "Power portfolio optimization with traded contract products" @default.
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- W2162090882 doi "https://doi.org/10.1109/pes.2010.5589561" @default.
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