A new active portfolio risk management for an electricity retailer based on a drawdown risk preference

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• 作者：Mansour Charwand^a ; ^{m.charvand@sutech.ac.ir} ; Mohsen Gitizadeh^a ; Pierluigi Siano^b
• 关键词：Retailer ; Risk ; Zonal prices ; Drawdown ; SARIMA
• 刊名：Energy
• 出版年：2017
• 出版时间：1 January 2017
• 年：2017
• 卷：118
• 期：Complete
• 页码：387-398
• 全文大小：1565 K
• 卷排序：118

文摘

A new drawdown-based method is introduced to retailer deciding under uncertainty. This tool is used to assess the risk levels regarding retailer midterm strategies. The methodology is based on the modeling of the stochastic evolution of zonal prices. The risk function quantifies the frequency and magnitude of the portfolio drawdowns. In-sample and out-of-sample runs are performed for a portfolio allocation problem.