Valuing fuel diversification in power generation capacity planning

摘要: Abstract Deterministic capacity planning problems in electricity systems can be solved by comparing technology specific long-term and short-term marginal costs. In an uncertain market environment, Mean-Variance Portfolio (MVP) theory provides a consistent framework to balance risk return power generation portfolios. Focusing on fuel price risks, MVP adopted determine the welfare efficient system mix. Existing literature applications markets uses predominantly numerical methods characterize portfolio risks. contrast, this article presents novel analytical approach combining conceptual elements of classical models derive structure consisting arbitrary number plant technologies given prices. For purpose, we provide static optimization model which allows fully capture risks mean variance framework. The analytically derived optimality conditions contribute better understanding optimal investment policy its characteristics compared existing methods. Furthermore, demonstrate application proposed results for German has been hardly treated markets. This easily interpretable portfolios from societal point view therewith contributes applications.