Related papers: Risk aversion in flexible electricity markets
Increased penetration of wind energy will make electricity market prices more volatile. As a result, market participants will bear increased financial risks, which impact investment decisions and in turn, makes it harder to achieve…
The increasing penetration of flexible loads, such as electric vehicles and AI data-centers necessitates new methodologies for quantifying electrical load hosting capacity under operational constraints and flexible connection agreements. We…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
Integrating the gas and district heating with the electrical grid in a multi-energy grid has been shown to provide flexibility and prevent bottlenecks in the operation of electrical distribution grids. This integration assumes a top-down…
Renewable energy brings huge uncertainties to the power system, which challenges the traditional power system operation with limited flexible resources. One promising solution is to introduce dynamic pricing to more consumers, which, if…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
Harnessing the demand-side flexibility in building and mobility sectors can help to better integrate renewable energy into power systems and reduce global CO2 emissions. Enabling this sector coupling can be achieved with advances in energy…
Storage is expected to be a critical source of firming in low-carbon grids. A common concern raised from ex-post assessments is that storage resources can fail to respond to strong price signals during times of scarcity. While commonly…
Cost optimal scenarios derived from models of a highly renewable electricity system depend on the specific input data, cost assumptions and system constraints. Here this influence is studied using a techno-economic optimisation model for a…
Take up of microcredit by the poor for investment in businesses or human capital turned out to be very low. We show that this could be explained by risk aversion, without relying on fixed costs or other forms of non-convexity in the…
As the share of variable renewable energy in power systems grows, enhancing the operational flexibility of combined cycle gas turbines with carbon capture and storage (CCGT-CCS) becomes increasingly valuable. This study integrates…
This work studies synergies arising from combining industrial demand response and local renewable electricity supply. To this end, we optimize the design of a local electricity generation and storage system with an integrated demand…
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating…
The power networks are evolving with increased active components such as energy storage and flexibility derived from loads such as electric vehicles, heat pumps, industrial processes, etc. Better models are needed to accurately represent…
The power grid is undergoing significant restructuring driven by the adoption of wind/solar power and the incorporation of new flexible technologies that can shift load in space and time (e.g., data centers, battery storage, and modular…
We investigate the profitability and risk of energy storage arbitrage in electricity markets under price uncertainty, exploring both robust and chance-constrained optimization approaches. We analyze various uncertainty representations,…
Potential of electrical loads in providing grid ancillary services is often limited due to the uncertainties associated with the load behavior. A knowledge of the expected uncertainties with a load control program would invariably yield to…
Electricity storage is used for intertemporal price arbitrage and for ancillary services that balance unforeseen supply and demand fluctuations via frequency regulation. We present an optimization model that computes bids for both arbitrage…
This paper presents a method for incorporating risk aversion into existing decision tree models used in economic evaluations. The method involves applying a probability weighting function based on rank dependent utility theory to reduced…
Operational flexibility is an important property of electric power systems and plays a crucial role for the transition of today's power systems, many of them based on fossil fuels, towards power systems that can efficiently accommodate high…