Measuring Performance of Long-Term Power Generating Portfolios

摘要: We propose a model for assessing the performance of generation mixes in mean-variance context. In particular, we focus on expected price electricity and volatility that result from different generating portfolios change over time (because investments retirements). Our valuation rests solving an optimization problem. At any it minimizes total costs delivery. A distinctive feature our is process subject to behavior stochastic variables (e.g. load, wind generation, fuel prices). Thus deal with problem optimal control. The combines techniques, Monte Carlo simulation decades-long planning horizon, market data futures contracts commodities. It accounts uncertain dynamics both demand side supply side. aim assist decision makers trying assess or strategies regarding infrastructures. To demonstrate by example consider case Great Britain’s mix next 20 years. compare three future energy scenarios contracted background, i.e. four time-varying portfolios. Major British power producers are covered EU Emissions Trading Scheme (ETS), so they operate under binding greenhouse gas (GHG) emission constraints. Further, UK Government has announced floor carbon sector 1 April 2013. optimally managed every period changing input output as required.