Portfolio optimization of hydroelectric assets subject to financial indicators

The objective of this article is to present a benchmarking of financial indicators implemented in hydroelectric stochastic risk management models. We present three model formulations using a tree approach for hydroelectric optimization using three procedures for financial risk control: Minimum Revenues (Rmin), Value-at-Risk (VaR) and Conditional VaR (CVaR). According to their properties and their formulation in each model we compare them theoretically based on two criteria: their adequacy for electricity portfolio optimization subject to risk constraints and the feasibility of their implementation inside the state of the art (SDDP) algorithm appropriate for large scale energy systems. Using numerical examples we verify the statements derived from the theoretical comparison.


Published in:
2007 Ieee Power Engineering Society General Meeting, Vols 1-10, 1656-1663
Presented at:
IEEE-Power-Engineering-Society General Meeting, Tampa, FL, Jun 24, 2007
Year:
2007
Publisher:
Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa
ISBN:
978-1-4244-1296-9
Keywords:
Laboratories:




 Record created 2012-07-04, last modified 2018-03-17


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