1999-12-20Buch DOI: 10.18452/8221
Hedging electricity portfolios via stochastic programming
Wallace, Stein W.
Ziemba, William T.
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.
Dateien zu dieser Publikation
Is Part Of Series: The IMA volumes in mathematics and its applications, 128, 2002