Mádi-Nagy, Gergely (IP Systems Ltd. / Eötvös University)
Price Risk
Based Power Portfolio Optimization with Liquidity Constraints
There is a power portfolio,
which consists of a procurement curve and several forward products. Our aim is
(re)hedging the portfolio in order to minimize its financial risk for a given
time period (typically 10 working days).
The risk is measured by
Conditional Value-at-Risk, which
·
is
a coherent risk measure (e.g., the sum of the risk of subportfolios
cannot be less than the whole portfolio),
·
gives
more information on fat-tailed distribution,
·
can be optimized easily.
The risk is presented by
price curve scenarios. The finite liquidity of power markets are taken into
account. The model has been implemented and used in the Energy-Trading
Informatics Platform of the IP Systems Ltd.
The project
is supported by the Research and Technology Innovation Fund.
Project ID: PIAC_13-1-2013-0012
Date: Oct. 28, Tuesday
4:15pm
Place: BME, Main Building
„K”, 1st Floor, Room 50