This paper proposes a comparison among different sale-bidding strategies embedding risk due to daily-price volatility and to uncertainty typical of a process of bids acceptance, as well as delivery risk due to transmission congestion, taking into account zonal spot prices. The GenCo was modeled as a price taker, its price bids coincide with marginal costs and thus only energy bids were represented as decision variables. Each sale-bidding strategy then consists of the hourly energy quantities to bid for the 24 hours of the next day in a multi-session market, with the aim of maximizing overall profits and minimizing risk exposure.
Comparison among Different Sale-Bidding Strategies to Hedge against Risk in a Multi-Market Environment
Violi, Antonio
2011-01-01
Abstract
This paper proposes a comparison among different sale-bidding strategies embedding risk due to daily-price volatility and to uncertainty typical of a process of bids acceptance, as well as delivery risk due to transmission congestion, taking into account zonal spot prices. The GenCo was modeled as a price taker, its price bids coincide with marginal costs and thus only energy bids were represented as decision variables. Each sale-bidding strategy then consists of the hourly energy quantities to bid for the 24 hours of the next day in a multi-session market, with the aim of maximizing overall profits and minimizing risk exposure.File in questo prodotto:
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