VaR constrained hedging of fixed price load-following obligations in competitive electricity markets.
Yumi OumShmuel S. OrenPublished in: Risk Decis. Anal. (2009)
Keyphrases
- electricity markets
- competitive market
- electric power
- agent based simulation
- unit commitment
- load balancing
- software agents
- market clearing
- wind power
- load forecasting
- bidding strategies
- power generation
- robust optimization
- agent architecture
- business models
- transaction costs
- profit maximizing
- exchange rate
- option pricing
- short term
- market participants