Title: Applying portfolio theory on the electricity sector: Installed capacity versus actual electricity generation
Authors: Delarue, Erik
De Jonghe, Cedric
Belmans, Ronnie
D'haeseleer, William #
Issue Date: 8-Sep-2009
Conference: IAEE edition:10 location:Vienna Austria date:8-10 September 2009
Abstract: Portfolio theory has found its way in numerous applications for optimizing the electricity
generation mix. Existing models, however, consider typically a single time period and
correspondingly do not account properly for actual dispatch constraints and energy
sources with a variable output. This paper presents a portfolio theory model that
explicitly distinguishes between installed capacity (power) and actual electricity
generation (energy). This way, the variability of wind power and the ramp limits of
conventional power plants can be correctly taken into account in the investment
optimization. The model is written as a quadratically constrained programming problem
and used in a case study to optimize the Belgian generation mix.
Publication status: published
KU Leuven publication type: IC
Appears in Collections:ESAT - ELECTA, Electrical Energy Computer Architectures
Applied Mechanics and Energy Conversion Section
# (joint) last author

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