Related papers: Risk aversion in flexible electricity markets
Flexible loads, i.e. the loads whose power trajectory is not bound to a specific one, constitute a sizable portion of current and future electric demand. This flexibility can be used to improve the performance of the grid, should the right…
The increasing integration of renewable energy sources into power systems is intensifying the demand for greater flexibility among industrial electricity consumers. However, operational constraints, production requirements, and market…
As global concerns regarding climate change are increasing worldwide, the transition towards clean energy sources has accelerated. Accounting for a large share of energy consumption, the electricity sector is experiencing a significant…
This paper studies flexible multi-facility capacity expansion with risk aversion. In this setting, the decision maker can periodically expand the capacity of facilities given observations of uncertain demand. We model this situation as a…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
In the transition toward a sustainable power system, renewable-based Virtual Power Plants (RVPPs) have emerged as a promising solution to the challenges of integrating renewable energy sources into electricity markets. Their viability,…
This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about…
This paper studies robust forward investment and consumption preferences and optimal strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with drift and volatility uncertainties. We focus on non-zero…
The growing share of variable renewable energy (VRE) sources in power systems is increasing the need for short term operational flexibility, particularly from large industrial electricity consumers. This study proposes a practical, two…
Electricity market mechanisms designed to steer sustainable generation of electricity play an important role for the energy transition intended to mitigate climate change. One of the major problems is to complement volatile renewable energy…
We propose a decision-analytical approach to comparing the flexibility of decision situations from the perspective of a decision-maker who exhibits constant risk-aversion over a monetary value model. Our approach is simple yet seems to be…
We study logistical investment flexibility provided by modular processing technologies for mitigating risk. Specifically, we propose a multi-stage stochastic programming formulation that determines optimal capacity expansion plans that…
Interest in sustainability has increased the share of variable renewable energy sources (VRES) in power generation. Energy storage systems' potential to mitigate intermittencies from non-dispatchable VRES has enhanced their appeal. However,…
To meet carbon emission targets, governments around the world seek electricity consumers to invest in self-sufficiency technologies such as solar photovoltaic and battery storage. Such behaviour is sought in markets typically characterised…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…
The paradox of the energy transition is that the low marginal costs of new renewable energy sources (RES) drag electricity prices down and discourage investments in flexible productions that are needed to compensate for the lack of…
The development of new methods and representations for temporal decision-making requires a principled basis for characterizing and measuring the flexibility of decision strategies in the face of uncertainty. Our goal in this paper is to…
This paper presents a framework for deriving the storage capacity that an electricity system requires in order to satisfy a chosen risk appetite. The framework takes as inputs user-defined event categories, parameterised by peak…
Portfolio diversification is a cornerstone of modern finance, while risk aversion is central to decision theory; both concepts are long-standing and foundational. We investigate their connections by studying how different forms of…
We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…