| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): |
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 |
| Submission Date: | 08.11.1999 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Keywords (eng): | Stochastic programming, hydro scheduling, portfolio management, deregulated electricity market |
| Appeared in: |
The IMA volumes in mathematics and its applications (Vol. 128, 2002)
Springer (New York [u.a.]) |
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| Abstract (eng): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 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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