Related papers: Risk aversion in flexible electricity markets
The rapid expansion of data center infrastructure is reshaping power system dynamics by significantly increasing electricity demand while also offering potential for fast and controllable flexibility. To ensure reliable operation under such…
This paper investigates the role of flexible connection in accelerating the interconnection of large loads amid rising electricity demand from data centers and electrification. Flexible connection allows new loads to defer or curtail…
Distribution grid reliability and resilience has become a major topic of concern for utilities and their regulators. In particular, with the increase in severity of extreme events, utilities are considering major investments in distribution…
Flexibility requirements are becoming more relevant in power system planning due to the integration of variable Renewable Energy Sources (vRES). In order to consider these requirements Generation Expansion Planning (GEP) models have…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
The deepening of the penetration of renewable energy is challenging how power system operators cope with their associated variability and uncertainty. The inherent flexibility of dispathchable assets present in power systems, which is often…
The increased market penetration of renewable energy sources and the rapid development of electric battery storage technologies yield a potential for reducing electricity price volatility while maintaining stability of the power grid. This…
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We…
The rapid expansion of low-cost renewable electricity combined with end-use electrification in transport, industry, and buildings offers a promising path to deep decarbonisation. However, aligning variable supply with demand requires…
We propose a novel approach to infer investors' risk preferences from their portfolio choices, and then use the implied risk preferences to measure the efficiency of investment portfolios. We analyze a dataset spanning a period of six…
The roll-out of stochastic renewable energy sources (RES) undermines the efficiency of power system and market operations. This paper proposes an approach to derive electricity prices that internalize RES stochasticity. We leverage a…
Grid-connected hybrid renewable power systems with energy storage can reduce the intermittency of renewable power supply. However, emerging energy storage technologies need improvement to compete with lithium-ion batteries and reduce the…
An investor with constant absolute risk aversion trades a risky asset with general It\^o-dynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading-order optimal trading policy and the…
In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy depends on a risk criterion chosen. We…
The energy market, and specifically the renewable sector carries volatility and risks, similar to the financial market. Here, we leverage on a well-established, return-risk approach, commonly used by equity portfolio-managers and apply it…
The integration of renewable generation poses operational and economic challenges for the electricity grid. For the core problem of power balance, the legacy paradigm of tailoring supply to follow random demand may be inappropriate under…
This review presents the set of electricity price models proposed in the literature since the opening of power markets. We focus on price models applied to financial pricing and risk management. We classify these models according to their…
The current stage in the evolution of the European internal energy market for electricity is defined by the transformation towards a renewable energy system. The Clean Energy Package aims to ensure that methods for capacity allocation and…
Given the declining cost of battery technology in the last decade, nowadays BESS becomes a more attractive solution in electrical power systems. The objective of this work is to analyze the potential utilization of BESS in the major…
We uncover a close link between outside options and risk attitude: when a decision-maker gains access to an outside option, her behaviour becomes less risk-averse, and conversely, any observed decrease of risk-aversion can be explained by…