| Hedging electricity portfolios via stochastic programming (1999) | |||||||||||||
Abstract | |||||||||||||
| Electricity producers participating in the Nordic wholesale-level market face significant uncertainty in inflow to reservoirs and prices in the spot and contract markets. Taking the view of a single risk-averse producer, we propose a stochastic programming model for the coordination of physical generation resources with hedging through the forward and option market. Numerical results are presented for a five-stage. 256 scenario model that has a two year horizon. | |||||||||||||
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