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Optimization of Electric Energy Sales Strategy Based on Probabilistic Forecasts

Author

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  • Joanna Janczura

    (Faculty of Pure and Applied Mathematics, Wroclaw University of Science and Technology, 50-370 Wroclaw, Poland)

  • Aleksandra Michalak

    (Faculty of Pure and Applied Mathematics, Wroclaw University of Science and Technology, 50-370 Wroclaw, Poland)

Abstract

In this paper we propose an optimization scheme for a selling strategy of an electricity producer who in advance decides on the share of electricity sold on the day-ahead market. The remaining part is sold on the complementary (intraday/balancing) market. To this end, we use probabilistic forecasts of the future selling price distribution. Next, we find an optimal share of electricity sold on the day-ahead market using one of the three objectives: maximization of the overall profit, minimization of the sellers risk, or maximization of the median of portfolio values. Using data from the Polish day-ahead and balancing markets, we show that the assumed objective is achieved, as compared to the naive strategy of selling the whole produced electricity only on the day-ahead market. However, an increase of the profit is associated with a significant increase of the risk.

Suggested Citation

  • Joanna Janczura & Aleksandra Michalak, 2020. "Optimization of Electric Energy Sales Strategy Based on Probabilistic Forecasts," Energies, MDPI, vol. 13(5), pages 1-16, February.
    • Handle: RePEc:gam:jeners:v:13:y:2020:i:5:p:1045-:d:325457
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    References listed on IDEAS

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    Cited by:

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    2. Dumiter Florin Cornel & Turcaș Florin Marius & Boiţă Marius, 2023. "Oil Shock Impact Upon Energy Companies Investment Portfolios. Trends and Evolutions in the Energy Consumption Sector," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(1), pages 1-27, March.
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    4. Joanna Janczura & Andrzej Puć, 2023. "ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation," Energies, MDPI, vol. 16(2), pages 1-28, January.

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