Optimal portfolio design of energy storage devices with financial and physical right market
Received date: 28 Jan 2021
Accepted date: 15 Jun 2021
Published date: 15 Feb 2022
Copyright
With the continuous development of the spot market, in the multi-stage power market environment with the day-ahead market and right market, the study associated with the portfolio of energy storage devices requires that attention should be paid to transmission congestion and power congestion. To maximize the profit of energy storage and avoid the imbalance of power supply and consumption and the risk of node price fluctuation caused by transmission congestion, this paper presents a portfolio strategy of energy storage devices with financial/physical contracts. First, the concepts of financial/physical transmission rights and financial/physical storage rights are proposed. Then, the portfolio models of financial contract and physical contract are established with the conditional value-at-risk to measure the risks. Finally, the portfolio models are verified through the test data of the Pennsylvania-New Jersey-Maryland (PJM) electric power spot market, and the comparison between the risk aversion of portfolios based on financial/physical contract with the portfolio of the market without rights. The simulation results show that the portfolio models proposed in this paper can effectively avoid the risk of market price fluctuations.
Puzhe LAN , Dong HAN , Ruimin ZHANG , Xiaoyuan XU , Zheng YAN . Optimal portfolio design of energy storage devices with financial and physical right market[J]. Frontiers in Energy, 2022 , 16(1) : 95 -104 . DOI: 10.1007/s11708-021-0788-2
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