مقاله انگلیسی مدیریت پورتفولیو و بهبود عملکرد با نسبت های شارپ و ترینور در بازارهای برق
Abstract
Keywords
Introduction
Portfolio optimization theory
Electricity in Turkey and electricity market structure
Data and methodology
Results
Conclusion
CRediT authorship contribution statement
Declaration of Competing Interest
References
Abstract
After 1980s, liberalization in energy industry accelerated. At that times, private sector started to show more tendency to electricity thanks to regulations and policies made by governments so electricity markets emerged and spread very rapidly, which created market risk that needs to be managed carefully along. Decision makers in electricity generation industry had to be faced this market risks besides other operational risks. They had to review policies regarding to risk management and they noticed that determining the right bidding strategy for electricity market and bilateral contract market was crucial. In this paper, Mean–variance, Semi-variance, and Down-side risk methods, which are common in portfolio optimization of financial literature are used to manage risk and to optimize electricity market bidding strategies and decision policy for an electricity generation company. Apart from the other limited studies, performances of optimal portfolio solutions are measured and further more improved with the help of Sharpe and Treynor ratios for electricity market. It is seen that direct use of portfolio management tools in electricity markets can cause sub-optimal solutions, so risk aversion constant of utility functions should be adapted. This study shows that optimal bidding strategies for electricity generators can be improved with the help of Sharpe and Treynor ratios. In order to demonstrate the results, two consecutive years of Turkish Day-ahead Market data are used in an empirical case study.
Introduction
World primary energy need is estimated to continue increasing. According to the new policies scenario of World Energy Outlook 2015, global energy demand will increase 32% between 2015 and 2040, and 67 trillion dollars should be allocated to meet this demand (International Energy Agency, 2015). On the other hand, after Covid-19 pandemic, future projections have been changed drastically for the next five years but increase in demand will continue anyway (International Energy Agency, 2020). According to the stated policies scenario of latest published World Energy Outlook (WEO) 2020, energy demand is expected to rise by 0.9% each year to 2030 (International Energy Agency, 2020).