Abstract
This paper suggests a way for electricity retailers to build their supply portfolios, calibrating their exposure to physical and financial contracts, in order to hedge from risks that variously affect the supply side in power markets. In particular, we formulate an allocation model which describes uncertainty sources using the robust approach originally introduced by Soyster (1973), and we provide an explicit form to robust risk constraints. The notable elements of innovation of this paper include: (a) the focus on the optimization problem faced by retailers, which is generally less explored than its counterpart in the generation side; (b) the analysis of uncertainty sources through the robust optimization paradigm, and (c) the representation of robust constraints based on Conditional Value at Risk (CVaR).
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
Ben-Tal, A., Nemirovski, A.: Robust Solutions of Linear Programming Problems Contaminated with Uncertain Data. Math. Progr. J. 88(3), 411–424 (2000)
Ben-Tal, A., Margalit, T., Nemirovski, A.: Robust Modeling of Multi-Stage Portfolio Problems. In: Frenk, H., Roos, K., Terlaky, T., Zhang, S. (eds.) High Performance Optimizatio. Applied Optimization series, vol. 33, pp. 303–328. Kluwer Academic, Dordrecht (2000)
Ben-Tal, A., Nemirovski, A.: Robust Optimization - Methodology and Applications. Math. Progr. J. 92(3), 453–480 (2002)
Ben-Tal, A., Nemirovski, A.: Selected Topics in Robust Convex Optimization. Math. Progr. J. 112(1), 125–158 (2008)
Bertsimas, D., Brown, D., Caramanis, C.: Theory and Applications of Robust Optimization. Technical Report (July 2007)
Ben-Tal, A., Bertsimas, D., Brown, D.: A Flexible Approach to Robust Optimization via Convex Risk Measures. Technical Report (September 2006)
Dorris, G., Burrows, S.: Retail Risk–Based Pricing, A new approach to rate design. Public Utilities Fortnightly 142(3) (2004)
El–Khattam, W., Bhattacharya, K., Hegazy, Y., Salama, M.M.A.: Optimal Investment Planning for Distributed Generation in a Competitive Electricity Market. IEEE Trans. on Power Systems 19(3), 1674–1684 (2004)
Gomez Villalva, E., Ramos, A.: Optimal Energy Management of an Industrial Consumer in Liberalized Markets. IEEE Trans. on Power Systems 18(2), 716–726 (2003)
Lewiner, C.: Business and Technology Trends in the Global Utility Industries. IEEE Power Eng. Rev. 21(12), 7–9 (2001)
Markowitz, H.M.: Portfolio Selection. J. of Finance 7(1), 77–91 (1952)
Soyster, A.L.: Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming. Op. Res. 21(5), 1154–1157 (1973)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2008 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Resta, M., Santini, S. (2008). Robust Hedging of Electricity Retail Portfolios with CVaR Constraints. In: Le Thi, H.A., Bouvry, P., Pham Dinh, T. (eds) Modelling, Computation and Optimization in Information Systems and Management Sciences. MCO 2008. Communications in Computer and Information Science, vol 14. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-87477-5_29
Download citation
DOI: https://doi.org/10.1007/978-3-540-87477-5_29
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-87476-8
Online ISBN: 978-3-540-87477-5
eBook Packages: Computer ScienceComputer Science (R0)