Portfolio optimization tool with risk calculations

The electricity exchange include the uncertainty of many aspects, e.g. energy demand. The techniques to risk management used widely in financial markets must be adopted, because of differences between electricity and other products. The uncertainty in presented approach is modelled by random variables, described by probability density function or probability distribution. Risk management involve the measurement of many instruments, such as the uncertainty of energy consumption, energy price, CO2 certificates price etc. The model included most of technical and economical aspects is created and is resolved numerically by Monte Carlo simulations. The changes in time are modelled by the stochastic processes, the calculations includes the prediction of the time values using the auto-regressive models and/or the memory based methods and figure the linear statistical dependencies (correlations). The system provides portfolio management methods, including optimisation of the portfolio, given technical and economical restrictions. The genetic algorithm is used to find the global optimum, then the hill climbing (local optimisation) improves the result.