Risk-aversion modeling: Medium-term electricity retailer decision-making

This paper considers the effect of including risk-aversion in the problem faced by an electricity retailer which searches to determine the forward contracting portfolio and the selling price for its clients. This problem is formulated as a two-stage stochastic program considering risk-aversion. The risk aversion is explicitly included in two different manners: (i) using the CVaR metric and (ii) including stochastic dominance constraints. The resulting deterministic equivalents are mixed-integer linear problems which are solved using commercial branch-and-cut software. Numerical results are reported for a realistic case study. Finally, relevant conclusions are drawn.