|edoc-Server der Humboldt-Universität zu Berlin|
Stein-Erik Fleten, Norwegian University of Science and Technology|
Stein W. Wallace, Norwegian University of Science and Technology
William T. Ziemba, University of British Columbia
|Title:||Hedging electricity portfolios via stochastic programming|
|Date of Acceptance:||20.12.1999|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Keywords (eng):||Stochastic programming, hydro scheduling, portfolio management, deregulated electricity market|
The IMA volumes in mathematics and its applications (Vol. 128, 2002)
Springer (New York [u.a.])
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|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.|
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