Please use this identifier to cite or link to this item: https://doi.org/10.1109/TENCON.2009.5396179
Title: An optimization model for risk management in natural gas supply and energy portfolio of a generation company
Authors: Asif, U.
Jirutitijaroen, P. 
Keywords: Conditional value at risk
Energy portfolio
Natural gas supply portfolio
Risk management
Issue Date: 2009
Source: Asif, U.,Jirutitijaroen, P. (2009). An optimization model for risk management in natural gas supply and energy portfolio of a generation company. IEEE Region 10 Annual International Conference, Proceedings/TENCON : -. ScholarBank@NUS Repository. https://doi.org/10.1109/TENCON.2009.5396179
Abstract: This paper proposes a mathematical model to manage natural gas supply and energy portfolio of a generation company. The model incorporates financial risks associated with the decision-making process of buying and selling both natural gas and electricity while keeping the interaction between the two markets. Using stochastic programming framework, the problem formulation considers uncertainties associated with electricity prices and natural gas consumption, which results in a large scale mixed integer linear programming problem. The financial risks are measured by the conditional-value-at-risk (CVaR) index. A simplified test system is presented and later solved using Xpress-IVE student edition. Value of stochastic solution is calculated, which provides the value of the stochastic model. ©2009 IEEE.
Source Title: IEEE Region 10 Annual International Conference, Proceedings/TENCON
URI: http://scholarbank.nus.edu.sg/handle/10635/69357
ISBN: 9781424445479
DOI: 10.1109/TENCON.2009.5396179
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