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Taking Risk into Account in Electricity Portfolio Management

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Book cover Handbook of Power Systems II

Part of the book series: Energy Systems ((ENERGY))

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Abstract

We provide an economic interpretation with utility functions of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. We also establish a dynamic programming equation. Inspired by this economic approach, we compare two ways to incorporate risk (Conditional Value-at-Risk, CVaR) in generation planning in electrical industry: either as constraints or making use of utility functions deduced from the risk constraints.

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Author information

Authors and Affiliations

  1. EDF R&D OSIRIS, 1 avenue du Général de Gaulle, 92140, Clamart, France

    Laetitia Andrieu

Authors
  1. Laetitia Andrieu
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  2. Michel De Lara
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  3. Babacar Seck
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Corresponding author

Correspondence to Laetitia Andrieu .

Editor information

Editors and Affiliations

  1. , Division of Economics and Business, Colorado School of Mines, 15th Street 816, Golden, 80401, Colorado, USA

    Steffen Rebennack

  2. Dept. Industrial & Systems, Engineering, University of Florida, Weil Hall 303, Gainesville, 32611-6595, Florida, USA

    Panos M. Pardalos

  3. Rio Praia de Botafogo, Centro Empresarial, -A-Botafogo 2281701, Rio de Janeiro, 22250-040, Rio de Janeiro, Brazil

    Mario V. F. Pereira

  4. Research & Development, EnerCoRD - Energy Consulting,, Plastira Street 4, Athens, 171 21, Greece

    Niko A. Iliadis

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Andrieu, L., De Lara, M., Seck, B. (2010). Taking Risk into Account in Electricity Portfolio Management. In: Rebennack, S., Pardalos, P., Pereira, M., Iliadis, N. (eds) Handbook of Power Systems II. Energy Systems. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-12686-4_16

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  • DOI: https://doi.org/10.1007/978-3-642-12686-4_16

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-12685-7

  • Online ISBN: 978-3-642-12686-4

  • eBook Packages: EngineeringEngineering (R0)

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