Logo do repositório
 
Publicação

Multi-agent electricity markets: Retailer portfolio optimization using Markowitz theory

2017-07Artigo científico Acesso restrito
Ver registo simples
dc.contributor.authorAlgarvio, H.
dc.contributor.authorLopes, F.
dc.contributor.authorde Sousa, Jorge Mendes
dc.contributor.authorLagarto, João
dc.date.accessioned2017-11-24T13:18:01Z
dc.date.available2017-11-24T13:18:01Z
dc.date.issued2017-07
dc.description.abstractThe major electricity market models include: pools, bilateral contracts and hybrid models. Pool prices tend to change quickly and variations are usually highly unpredictable. In this way, market participants can enter into bilateral contracts to hedge against pool price volatility. In bilateral contracts, market participants can set the terms and conditions of agreements independent of the market operator. The hybrid model combines features of both pools and bilateral contracts. This paper is devoted to risk management and the optimization of the portfolios of retailers operating in liberalized electricity markets. It introduces a model for optimizing portfolios composed by end-use consumers using the Markowitz theory. It also presents an overview of a multi-agent system for electricity markets. The system simulates the behavior of various markets entities, including generating companies, retailers and consumers. The final part of the paper presents three case studies on portfolio optimization involving risk management: a retailer (a software agent) optimizes its portfolio by taking into account the attitude towards risk and the offer of a 3-rate tariff to five different types of consumers: industrial, large and small commercial, residential and street lightning. The results show that the retailer, by being more realistic in choosing consumers to its portfolio, can offer more competitive tariffs to key consumers and keep the portfolio optimal and stable in relation to the risk return ratio.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationALGARVIO, H. [et al] - Multi-agent electricity markets: Retailer portfolio optimization using Markowitz theory. Electric Power Systems Research. ISSN 0378-7796. Vol. 148 (2017), pp. 282-294pt_PT
dc.identifier.doi10.1016/j.epsr.2017.02.031pt_PT
dc.identifier.issn0378-7796
dc.identifier.issn1873-2046
dc.identifier.urihttp://hdl.handle.net/10400.21/7580
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevier Sciencept_PT
dc.relationFCOMP-01-0124-FEDER-020397pt_PT
dc.relationA Designar
dc.relation.publisherversionhttps://ac.els-cdn.com/S0378779617300871/1-s2.0-S0378779617300871-main.pdf?_tid=7c4b5dc2-cf78-11e7-924a-00000aacb35d&acdnat=1511350385_ad0b8ceaa9e20febc582c9cd900211c7pt_PT
dc.subjectMulti-agent electricity marketspt_PT
dc.subjectForward bilateral contractspt_PT
dc.subjectElectricity retailerspt_PT
dc.subjectRisk attitudept_PT
dc.subjectPortfolio of customerspt_PT
dc.subjectMarkowitz theorypt_PT
dc.titleMulti-agent electricity markets: Retailer portfolio optimization using Markowitz theorypt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleA Designar
oaire.awardURIinfo:eu-repo/grantAgreement/FCT//PD%2FBD%2F105863%2F2014/PT
oaire.citation.endPage294pt_PT
oaire.citation.startPage282pt_PT
oaire.citation.titleElectric Power Systems Researchpt_PT
oaire.citation.volume148pt_PT
person.familyNameLagarto
person.givenNameJoão
person.identifier.ciencia-id0512-2920-3C9E
person.identifier.orcid0000-0002-7047-6210
person.identifier.scopus-author-id24758947600
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication174bfcee-266b-483c-bc13-f187a886014d
relation.isAuthorOfPublication.latestForDiscovery174bfcee-266b-483c-bc13-f187a886014d
relation.isProjectOfPublicationd388db0a-96ee-41be-9da3-45e8a7ffc87a
relation.isProjectOfPublication.latestForDiscoveryd388db0a-96ee-41be-9da3-45e8a7ffc87a

Ficheiros

Principais
A mostrar 1 - 1 de 1
Miniatura indisponível
Nome:
Multi-agent electricity_J.Lagarto_ADEEEA.pdf
Tamanho:
2.18 MB
Formato:
Adobe Portable Document Format
Ver/Abrir
Licença
A mostrar 1 - 1 de 1
Miniatura indisponível
Nome:
license.txt
Tamanho:
1.71 KB
Formato:
Item-specific license agreed upon to submission
Descrição:
Ver/Abrir

Coleções

ISEL - Eng. Electrotécn. - Artigos