Optimal Asset Allocation in the Turkish Electricity Market: Down-side vs Semi-variance Risk Approach

GÖKGÖZ F., Atmaca M. E.

World Congress on Engineering (WCE 2013), London, Kanada, 3 - 05 Temmuz 2013, ss.348-349 identifier identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Basıldığı Şehir: London
  • Basıldığı Ülke: Kanada
  • Sayfa Sayıları: ss.348-349
  • Anahtar Kelimeler: Financial Optimization, Risk Management, Down-side Risk, Semi-variance, Electricity Markets, PORTFOLIO OPTIMIZATION, SELECTION
  • Ankara Üniversitesi Adresli: Evet

Özet

Power suppliers in deregulated markets with electricity market need to allocate their generation capacities to participate in contract and spot markets. Electricity market is unique. Generation companies face fuel, price, delivery, and network risks in a competitive electricity market. Whereas risk management is an important part of management strategies of generation companies, it can deeply affect their profitability's. This paper focuses on asset allocation between contract and spot markets, considering constraints of hydro power generating units and spot market price risks by using down-side risk and semi-variance risk approach. Real Turkish day-ahead market data between December 2009 and September 2011 are used in numerical calculations. The results revealed that lower partial moment risk approaches can also used beside Markowitz's Mean Variance approach. Consequently down-side and semi-variance portfolio approaches are producing significant results so that they can be valuable tools in suppliers' decision making.