Portfolio theory has found its way in numerous applications for optimizing the electricitygeneration mix. Existing models, however, consider typically a single time period andcorrespondingly do not account properly for actual dispatch constraints and energysources with a variable output. This paper presents a portfolio theory model thatexplicitly distinguishes between installed capacity (power) and actual electricitygeneration (energy). This way, the variability of wind power and the ramp limits ofconventional power plants can be correctly taken into account in the investmentoptimization. The model is written as a quadratically constrained programming problemand used in a case study to optimize the Belgian generation mix.
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