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http://hdl.handle.net/11531/5333
Título : | A medium-term integrated risk management model for a hydrothermal generation company |
Autor : | Cabero Borrós, Jordi Baillo Moreno, Alvaro Cerisola Lopez De Haro, Santiago Ventosa Rodríguez, Mariano García Alcalde, Antonio Perán Montero, Fernando Luis Relaño Cobián, Gregorio |
Fecha de publicación : | 1-ago-2005 |
Resumen : | This paper presents a methodology to manage the market risk faced by a hydrothermal generation company in the medium-term (one year). This risk is due to uncertainty in fuel prices, power demand, water inflows, and electricity prices. The proposed methodology includes three steps: the generation of scenarios for these random parameters, the approximation of these scenarios by a multivariate scenario tree, and the optimization of the company’s operational and financial hedging decisions under a stochastic programming framework. The optimization model permits the representation of a diversified generation portfolio and measures risk exposure by means of conditional value-at-risk. A realistic numerical example is solved to illustrate the possibilities of our approach. |
Descripción : | Artículos en revistas |
URI : | https:doi.org10.1109TPWRS.2005.851934 |
ISSN : | 0885-8950 |
Aparece en las colecciones: | Artículos |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | |
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IIT-05-015A.pdf | 736,7 kB | Adobe PDF | Visualizar/Abrir Request a copy |
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