- Portfolio optimization in the energy market
- Raspanti, Elisa <1989>
Subject
- MAT/06 Probabilità e Statistica matematica
Description
- Let’s put ourselves in the shoes of an energy company. Our fleet of electricity production plants mainly includes gas, hydroelectric and waste-to-energy plants. We also sold contracts for the supply of gas and electricity. For each year we have to plan the trading of the volumes needed by the plants and customers: better to fix the price of these volumes in advance with the so-called forward contracts, instead of waiting for the delivery months, exposing ourselves to price uncertainty. Here’s the thing: trying to keep uncertainty under control in a market that has never shown such extreme scenarios as in recent years: a pandemic, a worsening climate crisis and a war that is affecting economies around the world have made the energy market more volatile than ever. How to make decisions in such uncertain contexts? There is an optimization problem: given a year, we need to choose the optimal planning of volume trading times, to meet the needs of our portfolio at the best prices, taking into account the liquidity constraints given by the market and the risk constraints imposed by the company. Algorithms are needed for the generation of market scenarios over a finite time horizon, that is, a probabilistic distribution that allows a view of all the dates between now and the end of the year of interest. Algorithms are needed to solve the optimization problem: we have proposed more than one and compared them; a very simple one, which avoids considering part of the complexity, moving on to a scenario approach and finally a reinforcement learning approach.
Date
- 2023-06-16
Type
- Doctoral Thesis
- PeerReviewed
Format
- application/pdf
Identifier
urn:nbn:it:unibo-29407
Raspanti, Elisa (2023) Portfolio optimization in the energy market, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Matematica