Optimization of electricity retailer's contract portfolio subject to risk preferences

IEEE Transactions on Power Systems

Volumn 25, Issue 1, 2010, Pages 117-128

  Kettunen, Janne ^a   Salo, Ahti ^b   Bunn, Derek W ^c  

^a UNIVERSITY OF CALGARY   (Canada)

^b AALTO UNIVERSITY   (Finland)

^c LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Electricity market; Retailers contract portfolio optimization; Risk management; Stochastic optimization

Indexed keywords

ELECTRICITY CONTRACTS; ELECTRICITY MARKET; ELECTRICITY PRICES; EXPECTED COSTS; FORWARD RISK PREMIUMS; INTERMEDIATE STAGE; OPTIMIZATION METHOD; PLANNING HORIZONS; PORTFOLIO OPTIMIZATION; RISK ATTITUDE; RISK AVERSE; RISK PREFERENCE; SPOT PRICE; STOCHASTIC OPTIMIZATION APPROACH; STOCHASTIC OPTIMIZATIONS; VALUE AT RISK; WHOLESALE MARKETS;

COMMERCE; COSTS; ELECTRICITY; FINANCIAL DATA PROCESSING; PLANNING; RISK ANALYSIS; RISK MANAGEMENT; SALES; SENSITIVITY ANALYSIS; STOCHASTIC SYSTEMS;

OPTIMIZATION;

EID: 76649128717     PISSN: 08858950     EISSN: None     Source Type: Journal    
DOI: 10.1109/TPWRS.2009.2032233     Document Type: Article

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