A Strategy for a Generator to Participate in the Colombian Electricity Market
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Abstract
This paper presents a strategy for a generator to participate and to mitigate the risk effect of price volatility in the Colombian wholesale electricity market. The strategy is used to optimize the generator participation in the long-term market (bilateral market) and the spot market. Additionally, the strategy mitigates the risk of price exposure in the sport market using electricity forward contracts. Numerical results shows that the proposed methodology is more efficient than classical optimization models since this proposal considers the intrinsic price volatility of the long-term and spot markets.
MSC:46N10, 91G10, 68T05
PACS:89.65.Gh, 07.05.Mh
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Article Details
Keywords
Price forecasting; neural networks; portfolio optimization; Markowitz model; electricity derivatives.
How to Cite
SALAZAR ISAZA, Harold; ARIAS ROCHE, José David.
A Strategy for a Generator to Participate in the Colombian Electricity Market.
Ingeniería y Ciencia, [S.l.], v. 10, n. 20, p. 161-180, june 2014.
ISSN 2256-4314.
Available at: <http://publicaciones.eafit.edu.co/index.php/ingciencia/article/view/2193>. Date accessed: 12 june 2018.
doi: https://doi.org/10.17230/ingciencia.10.20.10.
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