|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 |
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|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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