Mean-risk optimization models for electricity portfolio management

The possibility of controlling risk in stochastic power optimization by incorporating special risk functional, so-called polyhedral risk measures, into the objective is demonstrated. We present an exemplary optimization model for mean-risk optimization of an electricity portfolios of a price-taking retailer. Stochasticity enters the model via uncertain electricity demand, heat demand, spot prices, and future prices. The objective is to maximize the expected overall revenue and, simultaneously, to minimize risk in terms of multiperiod risk measures, i.e., risk measures that take into account intermediate cash values in order to avoid liquidity problems at any time. We compare the effect of different multiperiod polyhedral risk measures that had been suggested in our earlier work