Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.22/1361
Título: A short-term risk management tool applied to OMEL electricity market using particle swarm optimization
Autor: Azevedo, Filipe
Vale, Zita
Palavras-chave: Optimization
Particle swarm optimization
Portfolio
Risk management
Uncertainty
Data: 2008
Editora: IEEE
Resumo: Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.
URI: http://hdl.handle.net/10400.22/1361
ISBN: 978-1-4244-1743-8
978-1-4244-1744-5
Versão do Editor: http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=4579039
Aparece nas colecções:ISEP – GECAD – Comunicações em eventos científicos

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