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 reven...

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Bibliographic Details
Published in2007 IEEE Power Engineering Society General Meeting pp. 1 - 8
Main Authors Iliadis, N.A., Pereira, M.V.F., Granville, S., Chabar, R.M., Barroso, L.-A.
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.06.2007
Subjects
Constraint optimization
Contracts
CVaR
Dynamic programming
Electricity supply industry
Electricity supply industry deregulation
Hydroelectric assets optimization
Monopoly
portfolio and risk management
Portfolios
Reactive power
Risk management
stochastic dual dynamic programming
stochastic optimization
Stochastic processes
VaR
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Summary: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.
ISBN:142441296X
9781424412969
ISSN:1932-5517
DOI:10.1109/PES.2007.385726