Portfolio optimization under lower partial moments in emerging electricity markets: Evidence from Turkey

Fazıl Gökgöz and Mete Emin Atmaca

Renewable and Sustainable Energy Reviews, 2017, vol. 67, issue C, 437-449

Abstract: Optimization of the electricity markets under modern portfolio theory has a crucial role for financial decision makers. Power suppliers in deregulated electricity markets need to optimize their generation capacities and bidding strategies so as to effectively participate in bilateral contract and spot markets. Market players have to deal with continuously changing electricity prices in competitive electricity market environment during their daily routine system operations. Electricity not like the others is a unique product/service and cannot be stored economically, however it should be generated and consumed simultaneously. In addition to all, power suppliers face with fuel price, water regime, delivery, and network risks. In view of the scene described above, prudent decision making methodologies are of critical importance to maximize profit while minimizing managing risks.

Keywords: Financial optimization; Portfolio optimization in electricity markets; Mean-variance optimization; Down-side; Semi-variance; Risk management; Electricity market (search for similar items in EconPapers)
JEL-codes: C12 C22 C60 C61 G10 G11 L94 N75 Q41 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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DOI: 10.1016/j.rser.2016.09.029

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