Portfolio theory based approach to risk management in electricity markets: Colombian case study

Y. Martínez, L.B. Valencia
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Abstract

Since 1994, the Colombian electricity market has been operating under a new structure. The Colombian government undertook a liberalization process, and trading activity was created. The traders face not only increasing competition, but also high-risk levels due to factors not considered previously. In the trading system, the agents are implicitly undertaking the risk associated with market variations and are demanding for new procedures to manage risk. This is an initial attempt to introduce an existing financial methodology (portfolio theory) to develop a risk management strategy for the electricity trading in Colombia which was developed in three steps.
基于投资组合理论的电力市场风险管理方法:哥伦比亚案例研究
自1994年以来,哥伦比亚电力市场一直在一种新的结构下运作。哥伦比亚政府开始了自由化进程,贸易活动开始了。交易员不仅面临着日益激烈的竞争,而且由于之前没有考虑到的因素,他们也面临着高风险。在交易系统中,代理人隐含地承担与市场变化相关的风险,并要求新的程序来管理风险。这是首次尝试引入现有的金融方法(投资组合理论),以制定哥伦比亚电力交易的风险管理策略,该策略分三个步骤开发。
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