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IEEETransactionsonPowerSystems,Vol.14,No.4,November19991285FinancialRiskManagementinaCompetitiveElectricityMarketRogerBjorganChen-ChingLiu,FellowJacquesLawarreeDepartmentofElectricalEngineeringDepartmentofEconomicsUniversityofWashington,SeattleWA98195AbstractdifferentapproachestoriskmanagementforresourceThispaperproposessolutionsforelectricityproducersinthefeldofplanningforthepowerindustry.Kayeetal.[2]describehowfnancialriskmanagementforelectricenergycontmctevaluation.forwardcontractscanbeusedforrisksharingintheTheefficientfrontierisusedasatooltoidenh&thepreferredelectricityindustiywhenaspotmarketisinoperation.Thepoifolioofcontmcts.Eachporffoliohasaprobabilitydensitypaperdiscusseshowforwardcontractsareaffectedbyfunctionfortheproft.Forimportantschedulingpolicies,closedrandomgeneratorfailuresandusessomescenariostoobserveformsolutionsarefoundfortheamountoffuturescontractsthattheireffect.Gedra[3]considerstwotypesofcontracts:correspondtotheeficientfrontier.Productionschedulingmustconsiderresourceconstraints.Itisfoundthat,withoutresourcecallableforward,i.e.,interrup!ibleloadcontracts,andconstrains,thepo@foliowiththehighestexpectedproftcanbeputtableforwardthatcanbeinterruptedatthedeliveryside.preferred-evenfararisk-aversedecision-maker.WhenresourceFleten[4]proposesamethodforriskmanagemeutbyconstraintsarepresent,poifoliosnotcorrespondingtotheapplyingstochasticoptimizationforhydroproducerswheremaximumexpectedpmftcriteriawillmorefiequentlybepreferred.thecontractsenterasconstraints.TheapproachfollowsthegeneralformulationofstochasticoptimizationusingscenarioKeywords:PowerSystemEconomics,RiskManagement,aggregationasproposedbyRockefellar[SI.ContractDecisionMaking,OpenAccessn.PROBLEMFORMULATIONI.INTRODUCTIONThesetofallcontractsiscalledtheporfolioofconbacfs.Theenergymarketshavebeen,orareintheprocessofSupposeaproducermustchoosefromasetofdifferentbeing,restructuredinmanypartsoftheworld.Thispresentsportfolios:s=(s,,s,,...,sN}(1)uncertaintiestoparticipantsin
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