|edoc-Server der Humboldt-Universität zu Berlin|
Stein-Erik Fleten, Norwegian University of Science and Technology|
Stein W. Wallace, Chinese University of Hong Kong and Molde University College
|Title:||Delta-Hedging a Hydropower Plant Using Stochastic Programming|
|Date of Acceptance:||17.03.2008|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10087524)|
|Keywords (eng):||risk management, stochastic programming, case study, hydroelectric scheduling, reservoir management, electricity markets, stochastic hydrology, cascade reservoirs, joint hedging and production, electricity prices, Nord Pool|
|To appear in:||
Opitmization in the Energy Industry |
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|An important challenge for hydropower producers is to optimize reservoir discharges, which is subject to uncertainty in inﬂow and electricity prices. Furthermore, the producers want to hedge the risk in the operating proﬁt. This article demonstrates how stochastic programming can be used to solve a multi-reservoir hydro scheduling case for a price-taking producer, and how such a model can be employed in subsequent delta-hedging of the electric- ity portfolio.|
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