Interruptible Load Risk Analysis Based on Portfolio Theory

Abstract:

Due to the uncertain price and stochastic load, power supply companies will face the trade-off between profits and risks when exercising Interruptible Load Management (ILM). Customers of different type are looked as sub-markets with different risk and benefit. A model is established for Interruptible Load (IL) in the framework of portfolio theory, with the object of maximizing the expected profits and risks of conditional value at risk (CVaR). Genetic Algorithm (GA), is adopted to solve the model. Finally, a numerical example is served for demonstrating the market property of high profits accompanied by high risks and the feasibility of the proposed model, thus a reference is provided to a power supply company to manage risks.

• Periodical: Advanced Materials Research (Volumes 732-733)
• Pages: 1427-1431
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.732-733.1427
• Online since: August 2013
• Authors: Jin Feng Wang*, Rong Zhu, Yan Jiang
• Keywords: Conditional Value at Risk, Interruptible Load, Portfolio Theory, Risk Management (RM)

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