English

Least-Cost Structuring of 24/7 Carbon-Free Electricity Procurements

Portfolio Management 2023-12-14 v1 Mathematical Finance

Abstract

We consider the construction of renewable portfolios targeting specified carbon-free (CFE) hourly performance scores. We work in a probabilistic framework that uses a collection of simulation scenarios and imposes probability constraints on achieving the desired CFE score. In our approach there is a fixed set of available CFE generators and a given load customer who seeks to minimize annual procurement costs. We illustrate results using a realistic dataset of jointly calibrated solar and wind assets, and compare different approaches to handling multiple loads.

Keywords

Cite

@article{arxiv.2312.07733,
  title  = {Least-Cost Structuring of 24/7 Carbon-Free Electricity Procurements},
  author = {Mike Ludkovski and Saad Mouti and Glen Swindle},
  journal= {arXiv preprint arXiv:2312.07733},
  year   = {2023}
}

Comments

5 pages, 4 figures