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In most electricity markets, a key restriction for portfolio optimization is the limited liquidity. Hence, standard models for decision problems have to be adapted to cope with this situation. This paper shows an approach dealing with this situation by including a liquidity function into the standard mean- variance model going back to Markowitz. This leads to a quadratic optimization problem which...
A large share of integrated wind power causes technical and financial impacts on the operation of the existing electricity system due to the fluctuating behaviour and unpredictability of wind power. The presented stochastic electricity market model optimises the unit commitment considering four kinds of electricity markets (e.g. a spot and balancing market) and taking into account the stochastic behaviour...
A large share of integrated wind power causes technical and financial impacts on the operation of the existing electricity system due to the fluctuating behaviour and unpredictability of wind power. The presented stochastic bottom-up electricity market model optimises the unit commitment considering five kinds of markets and taking explicitly into account the stochastic behaviour of the wind power...
In this paper a stochastic fundamental electricity market model is presented. The model's principle is cost minimization by determining the marginal system costs mainly as a function of available generation and transmission capacities, primary energy prices, plant characteristics and electricity demand. To obtain appropriate estimates of the marginal value of wind in an adapting system notably reduced...
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