Dynamic Risk Management of Electricity Contracts with Contingent Portfolio Programming

@inproceedings{Kettunen2007DynamicRM,
  title={Dynamic Risk Management of Electricity Contracts with Contingent Portfolio Programming},
  author={Janne Kettunen and Ahti Salo and Derek W. Bunn},
  year={2007}
}
Where a service provider faces substantial operational risk in meeting demand, as well as price risk in resourcing it from a wholesale market, conventional risk management optimization methods can be quite inefficient. As a leading example of this problem, we analyze the management of an electricity contracts portfolio. We develop a contingent optimization approach that accounts for the stochasticity of both electricity prices and loads, and which permits the specification of various… CONTINUE READING