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Within a yearly time framework this chapter describes stochastic programming models to derive the electricity market strategies of producers and retailers. Both a financial futures market and a day-ahead pool are considered. Uncertainties on hourly pool prices and on end-user demands are represented modeling these factors as stochastic processes. Decisions pertaining to the futures market are made...
This paper considers the effect of including risk-aversion in the problem faced by an electricity retailer which searches to determine the forward contracting portfolio and the selling price for its clients. This problem is formulated as a two-stage stochastic program considering risk-aversion. The risk aversion is explicitly included in two different manners: (i) using the CVaR metric and (ii) including...
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