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Risk Analysis and Behavior of Electricity Portfolio Aggregator

  • Eduardo EusébioEmail author
  • Jorge de Sousa
  • Mário Ventim Neves
Conference paper
Part of the IFIP Advances in Information and Communication Technology book series (IFIPAICT, volume 450)

Abstract

The scope of this paper is to adapt the standard mean-variance model of Henry Markowitz theory, creating a simulation tool to find the optimal configuration of the portfolio aggregator, calculate its profitability and risk. Currently, there is a deep discussion going on among the power system society about the structure and architecture of the future electric system. In this environment, policy makers and electric utilities find new approaches to access the electricity market; this configures new challenging positions in order to find innovative strategies and methodologies. Decentralized power generation is gaining relevance in liberalized markets, and small and medium size electricity consumers are also become producers (“prosumers”). In this scenario an electric aggregator is an entity that joins a group of electric clients, customers, producers, “prosumers” together as a single purchasing unit to negotiate the purchase and sale of electricity. The aggregator conducts research on electricity prices, contract terms and conditions in order to promote better energy prices for their clients and allows small and medium customers to benefit improved market prices.

Keywords

Aggregation Risk analysis Portfolio optimization Load profiles 

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Copyright information

© IFIP International Federation for Information Processing 2015

Authors and Affiliations

  • Eduardo Eusébio
    • 1
    Email author
  • Jorge de Sousa
    • 1
  • Mário Ventim Neves
    • 2
  1. 1.Instituto Politécnico de Lisboa Rua Conselheiro Emidio Navaro, 1Instituto Superiorior de Engenharia de LisboaLisboaPortugal
  2. 2.Faculdade de Ciências e TecnologiaUniversidade Nova de LisboaCosta de CaparicaPortugal

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