An interval-based stochastic dominance approach for decision making in forward contracts of electricity market

摘要: Abstract virtually, all decisions in financial markets are made the presence of uncertainty. Stochastic dominance is a well-known concept that broadly implemented for decision making under Thanks to advantages this approach, maker able exploit available information related uncertainties with stochastic nature. In paper, cope procedure forward contracts an electricity market, modified approach proposed. suggested framework, instead considering single value desirable goal each scenario benchmark, profit interval has been allocated reflect economic targets maker. next step, utilized problem framework. order find optimal profile such setting, two level optimization structure suggested. To end, at lower optimization, three different methods namely prospect dominance, conditional risk (CvaR) and hypothesis testing applied profiles number benchmarks, those stochastically generated around pre-specified benchmark. upper level, computed by using Mean-CvaR method. show practical aspects generalizability our proposed cases, including retailer producer’s problems determine their involvement futures market maximizing expected over given planning horizon, while controlling volatility raised from spot price consumer demand. The performance framework evaluated through simulation results relevant conclusions drawn.