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Author
Maciejowska Katarzyna (Wroclaw University of Science and Technology, Wrocław, Poland)
Title
Portfolio Management of a Small RES Utility with a Structural Vector Autoregressive Model of Electricity Markets in Germany
Source
Operations Research and Decisions, 2022, vol. 32, no. 4, s. 75-90, rys., tab., bibliogr. 32 poz.
Keyword
Przedsiębiorstwo energetyczne, Energia elektryczna, Ryzyko, Rynek energetyczny, Model wektorowej autoregresji
Energy distribution companies, Electric power, Risk, Energy market, Vector Autoregression Model (VAR)
Note
summ.
This work was partially supported through SONATA grant no. 2016/21/D/HS4/00515
Country
Niemcy
Germany
Abstract
Electricity producers and traders are exposed to various risks, among which price and volume risk play very important roles. This research considers portfolio-building strategies that enable the proportion of electricity traded in different electricity markets (day-ahead and intraday) to be chosen dynamically. Two types of approaches are considered: a simple strategy, which assumes that these proportions are fixed, and a data-driven strategy, in which the ratios fluctuate. To explore the market information, a structural vector autoregressive model is applied, which allows one to estimate the relationship between the variables of interest and simulate their future distribution. The approach is evaluated using data from the electricity market in Germany. The outcomes indicate that data-driven strategies increase revenue and reduce trading risk. These financial gains may encourage energy traders to apply advanced statistical methods in their portfolio-building process. (original abstract)
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The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
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Bibliography
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Cited by
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ISSN
2081-8858
Language
eng
URI / DOI
http://dx.doi.org/10.37190/ord220405
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