Portfolio theory based approach to risk management in electricity markets: Colombian case study

Author

Martinez, Yaneth C Correa ; Valencia, Leonardo Bedoya

Author_Institution

Dept. of Eng. Manage. & Syst. Eng., Old Dominion Univ., Norfolk, VA, USA

fYear

2003

fDate

24-25 April 2003

Firstpage

35

Lastpage

40

Abstract

Since 1994, the Colombian electricity market has been operating under a new structure. The Colombian government undertook a liberalization process, and trading activity was created. The traders face not only increasing competition, but also high-risk levels due to factors not considered previously. In the trading system, the agents are implicitly undertaking the risk associated with market variations and are demanding for new procedures to manage risk. This is an initial attempt to introduce an existing financial methodology (portfolio theory) to develop a risk management strategy for the electricity trading in Colombia which was developed in three steps.

Keywords

marketing data processing; power markets; risk management; Colombian electricity market; Colombian government; electricity trading system; financial methodology; portfolio theory; risk management; Computer aided software engineering; Contracts; Electricity supply industry; Energy management; Investments; Portfolios; Power generation economics; Power markets; Risk management; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Systems and Information Engineering Design Symposium, 2003 IEEE

Print_ISBN

0-9744559-0-3

Type

conf

DOI

10.1109/SIEDS.2003.158001

Filename

1242396