Risk management and portfolio optimization of electric power trading

摘要

In this paper a decision support and risk management methodology to electric energy commercialization in the energy market environment is proposed. The risk management plays a key role for companies and market agents. The problem can be characterized as an optimal allocation of energy between spot market, bilateral contracts, energy future contracts and exotic derivatives. The use of standard mean-variance model, a Markowitz selection portfolio, does not work so well in immature markets. However, considering a robust modeling with liquidity limits and natural constraints of market power it is possible to add value and size the risks embedded in the electric power negotiations. The decision that has to be taken is how much energy should be bought or sold in advance, and how large the exposition to the uncertain spot market, as well as the profits and risks involved. In this work, it is proposed to model the risk using a Condition Value at Risk as the criterion for choosing the most appropriate optimal portfolio. The evaluation of the proposal is carried out in order to assess the adherence of the model and the financial impacts on the dealer's portfolio through comparison with past price expectations.