1. Supplier Asset Allocation in a Pool-Based Electricity Market.
- Author
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Donghan Feng, Deqiang Gan, Jin Zhong, and Yixin Ni
- Subjects
- *
ELECTRIC power production , *ELECTRIC industries , *ELECTRIC power systems , *ELECTRICAL engineering , *ELECTRIC power , *ELECTRIC utilities - Abstract
-A power supplier in a pool-based market needs to allocate his generation capacities to participate in contract and spot markets. In this paper, the optimal portfolio selection theory is introduced for this purpose. A model applying this theory is proposed to solve the supplier asset allocation problem. Real market data are used in a numerical study to test the proposed model. The results show that different asset allocation solutions can yield very different risk-return tradeoffs for a supplier, and the proposed method can be potentially useful in suppliers' decision making. [ABSTRACT FROM AUTHOR]
- Published
- 2007
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