相关论文: Improvements to Modern Portfolio Theory based mode…
Modern Portfolio Theory (MPT) prescribes how to maximise the return of an asset portfolio for a given level of risk. The optimal trade-off between return and variance defines the efficient frontier. Whether actual cryptoasset portfolios…
Modern portfolio theory(MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk,…
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 increasing need for energy storage solutions to balance variable renewable energy sources has highlighted the potential of Pumped Thermal Electricity Storage (PTES). In this paper, we investigate the trade-offs between model accuracy…
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
Electric utilities must make massive capital investments in the coming years to respond to explosive growth in demand, aging assets and rising threats from extreme weather. Utilities today already have rigorous frameworks for capital…
Securing an adequate supply of dispatchable resources is critical for keeping a power system reliable under high penetrations of variable generation. Traditional resource adequacy mechanisms are poorly suited to exploiting the growing…
With the ongoing transition of electricity markets worldwide from hourly to intra-hourly bidding, market participants--especially Renewable Energy Sources (RES)--gain improved opportunities to adjust energy and reserve schedules and to…
The increasing penetration of variable renewable energy (VRE) has brought significant challenges for power systems planning and operation. These highly variable sources are typically distributed in the grid; therefore, a detailed…
Recent environmental policies have led many academic, industrial and governmental stakeholders to design and plan scenarios with very high share of renewable energy sources (RES). New system elements such as High-voltage Direct Current…
We consider how to optimally allocate investments in a portfolio of competing technologies using the standard mean-variance framework of portfolio theory. We assume that technologies follow the empirically observed relationship known as…
The fundamental principle in Modern Portfolio Theory (MPT) is based on the quantification of the portfolio's risk related to performance. Although MPT has made huge impacts on the investment world and prompted the success and prevalence of…
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,…
As the penetration of distributed energy resources (DERs) increases, harnessing their flexibility becomes critical for power system operations. Virtual power plants (VPPs) offer a promising solution. However, most existing scheduling tools…
To achieve ambitious greenhouse gas emission reduction targets in time, the planning of future energy systems needs to accommodate societal preferences, e.g. low levels of acceptance for transmission expansion or onshore wind turbines, and…
The changes in electricity markets expose RES producers and electricity traders to various risks, among which the price and the volume risk play a very important role. In this research, a portfolio building strategies are presented, which…
Battery storage, particularly residential battery storage coupled with rooftop PV, is emerging as an essential component of the smart grid technology mix. However, including battery storage and other flexible resources like electric…
Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two dimensional space…
We introduce a pathwise approach to analyze the relative performance of an equity portfolio with respect to a benchmark market portfolio. In this energy-entropy framework, the relative performance is decomposed into three components: a…
Stock price prediction is a challenging task and a lot of propositions exist in the literature in this area. Portfolio construction is a process of choosing a group of stocks and investing in them optimally to maximize the return while…