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Optimization of Electric Energy Sales Strategy Based on Probabilistic Forecasts

Author

Listed:
  • 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

    as
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    7. repec:aen:journl:ej37-si2-parisio is not listed on IDEAS
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    Citations

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    Cited by:

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    2. Janczura, Joanna & Wójcik, Edyta, 2022. "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study," Energy Economics, Elsevier, vol. 110(C).
    3. 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.
    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.
    5. Dariusz Borkowski & Michał Jaśkiewicz, 2025. "Forecasting Electricity Prices Three Days in Advance: Comparison Between Multilayer Perceptron and Support Vector Machine Networks," Energies, MDPI, vol. 18(17), pages 1-25, September.

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