Integrated risk management model for portfolio selection in multiple markets

Paral Mathilda, Rohit Bhakar

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)
163 Downloads (Pure)

Abstract

Risk management is a serious challenge for generating companies (gencos), because of price uncertainty in production resource procurement and selling generation outcome. Managing risk of either trading side without considering other may lead to inefficient risk management. Considering interrelated nature of market uncertainties this paper proposes integrated risk management framework for strategic trading decision making in all involved markets, in order to maximize overall expected profits. Spot and contract markets have been considered as available trading options in involved markets. Mean variance portfolio theory has been applied to solve the problem. The results from a realistic case study illustrates that decisions based on proposed approach provide better trade-off in terms of profit and risk. Revenue and cost side correlation give a new insight for diversification in portfolio selection in different trading side markets.

Original languageEnglish
Title of host publicationPES General Meetin/ Conference & Exposition, 2014 IEEE
PublisherIEEE
DOIs
Publication statusPublished - 29 Oct 2014
EventPES General Meeting/ Conference & Exposition, 2014 IEEE - National Harbor, USA United States
Duration: 27 Jul 201431 Jul 2014

Conference

ConferencePES General Meeting/ Conference & Exposition, 2014 IEEE
CountryUSA United States
CityNational Harbor
Period27/07/1431/07/14

Keywords

  • electricity market
  • emission market
  • fuel market
  • mean variance portfolio theory
  • Price uncertainty
  • risk management

Fingerprint Dive into the research topics of 'Integrated risk management model for portfolio selection in multiple markets'. Together they form a unique fingerprint.

Cite this