Related papers: Risk aversion in flexible electricity markets
Keeping a memory of evolving stimuli is ubiquitous in biology, an example of which is immune memory for evolving pathogens. However, learning and memory storage for dynamic patterns still pose challenges in machine learning. Here, we…
The interdependence of electricity and natural gas markets is becoming a major topic in energy research. Integrated energy models are used to assist decision-making for businesses and policymakers addressing challenges of energy transition…
The construction of an efficient portfolio with a good level of return and minimal risk depends on selecting the optimal combination of stocks. This paper introduces a novel decision-making framework for stock selection based on fractional…
The deepening penetration of renewables in power systems has contributed to the increasing needs for generation scheduling flexibility. Specifically, for short-term operations, flexibility here indicates that sufficient ramp capacities…
Utilizing energy storage solutions to reduce the need for traditional transmission investments has been recognized by system planners and supported by federal policies in recent years. This work demonstrates the need for detailed…
The European Union Emission Trading Scheme (EU ETS) is a cornerstone of the EU's strategy to fight climate change and an important device for plummeting greenhouse gas (GHG) emissions in an economically efficient manner. The power industry…
This paper investigates portfolio selection within a continuous-time financial market with regime-switching and beliefs-dependent utilities. The market coefficients and the investor's utility function both depend on the market regime, which…
We present the closed-form solution to the problem of hedging price and quantity risks for energy retailers (ER), using financial instruments based on electricity price and weather indexes. Our model considers an ER who is intermediary in a…
In the wake of the highly electrified future ahead of us, the role of energy storage is crucial wherever distributed generation is abundant, such as in microgrid settings. Given the variety of storage options that are becoming more and more…
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…
Optimizing a building's energy supply design is a task with multiple competing criteria, where not only monetary but also, for example, an environmental objective shall be taken into account. Moreover, when deciding which storages and…
Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked. This…
This paper proposes a risk-averse approach to energy storage price arbitrage, leveraging conformal uncertainty quantification for electricity price predictions. The method addresses the significant challenges posed by the inherent…
Climate adaptation could yield significant benefits. However, the uncertainty of which future climate scenarios will occur decreases the feasibility of proactively adapting. Climate adaptation projects could be underwritten by benefits paid…
Demand Response is an emerging technology which will transform the power grid of tomorrow. It is revolutionary, not only because it will enable peak load shaving and will add resources to manage large distribution systems, but mainly…
Locational Marginal Price (LMP) is a dual variable associated with supply-demand matching and represents the cost of delivering power to a particular location if the load at that location increases. In recent times it become more volatile…
The energetic flexibility of electric energy resources can be exploited when trading on wholesale energy and ancillary service markets. This paper considers the problem of a Balance Responsible Party to maximize its profit from trading on…
Hybrid Energy Systems (HES), integrating generation sources, energy storage, and controllable loads, are well-positioned to provide real-time grid flexibility. However, quantifying this maximum flexibility is challenging due to renewable…
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an It\^o diffusion process. Since risk attitudes at the end of the investment…
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice of risk-aversion functions underlying…