 Risk-optimized pooling of intermittent renewable energy sourcesGerke Gersema and David Wozabal Journal of Banking & Finance, 2018, vol. 95, issue C, 217-230 Abstract: Many photovoltaic and wind generation capacity owners gain access to power markets by signing up with virtual power plants. Power generation from these renewable sources of electricity is inherently uncertain and, consequently, revenue is random, which induces a risk for the owner. In this study, we investigate to what extent pooling different technologies and locations in the portfolio of a virtual power plant can reduce aggregate risk. To this end, we develop stochastic models for factors driving the assets’ underlying market and volume risks on which we base a model for risk-optimized pooling. Using the German market as an example, we demonstrate that optimal portfolios have a clearly better risk/return profile than the market portfolio. This finding holds in the case without subsidies as well as the case with feed-in tariffs. Keywords: Market integration of renewables; Power markets; Intermittency; Variable renewables; Wind and solar power; Virtual power plant (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:95:y:2018:i:c:p:217-230 DOI: 10.1016/j.jbankfin.2017.03.016 Access Statistics for this article Journal of Banking & Finance is currently edited by Ike Mathur More articles in Journal of Banking & Finance from Elsevier |
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