Research On Generation Companies' Profit And Risk Assessment Under Electricity Market

The electric industry reformation first introduces competition in the generation sector. Besides pursuing the maximum benefit, generation companies also have to face a variety of risk factors independently, thus the research on the Gencos′profit and risk assessment is vitally necessary.The analysis to the Gencos′profit and risk assessment is divided into long-term and short-term in this paper. The efficient frontier of the long-term electric energy selling portfolio is inferred by a Markowitz model. Also an E-CVaR model is proposed to improve the inadequacies of Markowitz model, and utility function is applied to determine the optimal allocation portfolio. The paper gives detailed discussions on different influencing factors to Gencos′long-term and short-term benefit and its selling portfolio. Additionally a general model of Gencos′unit commitment is presented and relevant numerical tests using improved dynamic programming method are given. The research in the paper can provides an essential basis for Gencos to make trading plans.