Stochastic Optimisation of Trading Strategies in Sequential Electricity Markets.
When generating energy with a portfolio with a big portion of renewables generation, there is a high uncertainty of how much energy will be generated (Q [MW], generated power and P [Euros/MW], price). Objetive of the paper is to build a optimisation model for trading that includes a risk-neutral portfolio owner and then expand it to a risk-avertion portfolio owner.
4 min read · 2025