Electricity Virtual Bidding Strategy Via Entropy-Regularized Stochastic Control Method
Portfolio Management
2023-03-07 v1
Abstract
We propose a virtual bidding strategy by modeling the price differences between the day-ahead market and the real-time market as Brownian motion with drift, where the drift rate and volatility are functions of meteorological variables. We then transform the virtual bidding problem into a mean-variance portfolio management problem, where we approach the mean-variance portfolio management problem by using the exploratory mean-variance portfolio management framework
Keywords
Cite
@article{arxiv.2303.02303,
title = {Electricity Virtual Bidding Strategy Via Entropy-Regularized Stochastic Control Method},
author = {Zhou Fang},
journal= {arXiv preprint arXiv:2303.02303},
year = {2023}
}
Comments
Any constructive critiques are welcome