Optimization of Electricity Retailer's Contract Portfolio Subject to Risk Preferences

@article{Kettunen2010OptimizationOE,
  title={Optimization of Electricity Retailer's Contract Portfolio Subject to Risk Preferences},
  author={Janne Kettunen and Ari Salo and D. W. Bunn},
  journal={IEEE Transactions on Power Systems},
  year={2010},
  volume={25},
  pages={117-128}
}
When an electricity retailer faces volume risk in meeting load and spot price risk in purchasing from the wholesale market, conventional risk management optimization methods can be quite inefficient. For the management of an electricity contract portfolio in this context, we develop a multistage stochastic optimization approach which accounts for the uncertainties of both electricity prices and loads, and which permits the specification of conditional-value-at-risk requirements to optimize… CONTINUE READING
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