Tid: 1 november 2010 kl 15.15-16.00.

Plats : Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25. (observera dagen och lokalen), Karta!

Föredragshållare: Somar Koria

Titel: The analysis of different financial risk measures in Hydro-electric portfolio optimization (Examensarbete – Master thesis)

Abstract

During the last two decades the electricity market has gone through overwhelming changes. From monopoly to market orientation and exchange markets, where contracts are traded on the spot market not only daily contracts but also forward and futures contracts. This development has made risk management an important part of the utility companies with hydroelectric assets. It is in this area that this thesis affects and it gives the development of risk management a push, which leads to higher net revenues for utility companies. The contribution of this thesis is to prove that the new formulation of CVaR implemented in Stochastic Dynamic Programming (SDP)/Stochastic Dual Dynamic Programming (SDDP), which are state-of-the-art in algorithms for mid-term hydroelectric assets operation optimization, is the best risk measure for minimizing the risk of a real electric system. The new CVaR formulation is proven to be more efficient in the sense that it gives higher value net revenues.

The full report (pdf)

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