Demand Response Resource Allocation Method Using Mean-Variance Portfolio Theory for Load Aggregators in the Korean Demand Response Market

Jaeyong Chae and Sung-Kwan Joo
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Jaeyong Chae: School of Electrical Engineering, Korea University, Seoul 02841, Korea
Sung-Kwan Joo: School of Electrical Engineering, Korea University, Seoul 02841, Korea

Energies, 2017, vol. 10, issue 7, 1-14

Abstract: Since the demand response (DR) market was introduced in Korea, load aggregators have also been allowed to participate in the electricity market. However, a risk-management-based method for the efficient operation of demand response resources (DRRs) has not been studied from the load aggregators’ perspective. In this paper, a systematic DRR allocation method is proposed for load aggregators to operate DRRs using mean-variance portfolio theory. The proposed method is designed to determine the lowest-risk DRR portfolio for a given level of expected return using mean-variance portfolio theory from the perspective of load aggregators. The numerical results show that the proposed method can be used to reduce the risk compared to that obtained by the baseline method, in which all individual DRRs are allocated in a DRR group by maximum curtailment capability.

Keywords: demand response resource; mean-variance portfolio theory; expected return and risk; load aggregators (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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