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| Author: | Vehviläinen, Iivo Keppo, Jussi |
| Title: | Managing electricity market price risk |
| Journal: | European Journal of Operational Research
2003 : FEB, VOL. 145:1, p. 136-147 |
| Index terms: | Electricity supply industry Energy Risk analysis Stochastic processes Simulation Portfolio management Monte Carlo technique |
| Language: | eng |
| Abstract: | The paper introduces an application of financial risk management methods to the deregulated electricity markets. A framework for the Monte Carlo performance simulation of a power portfolio is presented. The optimal portfolio selection problem is addressed and a numerical method is implemented. Numerical results of simulation and optimization are presented in the Nordic electricity market. The results suggest that the risk management methods of the paper can be applied to the everyday electricity market practice. |
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