Fuzzy Portfolio Optimization of Onshore Wind Power Plants

Reinhard Madlener, Barbara Glensk () and Veronika Weber ()
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Barbara Glensk: E.ON Energy Research Center, Institute for Future Energy Consumer Needs and Behavior (FCN), RWTH Aachen University, Postal: Mathieustrasse 6, 52074 Aachen, Germany, http://www.eonerc.rwth-aachen.de/fcn
Veronika Weber: RWTH Aachen University, Postal: Templergraben 55, 52056 Aachen, Germany, http://www.rwth-aachen.de

No 10/2011, FCN Working Papers from E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN)

Abstract: In this paper we apply fuzzy set theory to the portfolio optimization of power generation assets, using a semi-mean absolute deviation (SMAD) model as a benchmark and a fuzzy semi-mean absolute deviation (FSMAD) model for comparison. The two models are applied to five onshore wind power plants in Germany considered for the portfolio analysis. The results show that the combinations of favorable assets for efficient portfolios are very similar, although the portfolio shares are markedly different. Also, the return and risk span of the SMAD model are much broader than those of the FSMAD model. The highest returns are generated by portfolios based on the latter model. Offering less portfolio choices, the FSMAD model thus facilitates decision-making. This is in compliance with the notion that portfolio optimization by fuzzy set theory is able to better account for the decision-maker’s preferences under real-world conditions.

Keywords: Monte Carlo simulation; Mean-variance portfolio analysis; Fuzzy set theory; Wind power (search for similar items in EconPapers)
Pages: 42 pages
Date: 2011-05, Revised 2014-07
Note: Revised July 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:fcnwpa:2011_010

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