Optimized Purchasing Strategy of Electric Power Distributers Based on the Markowitz Theory

Abstract

In the deregulated electricity market, the vertically-integrated monopoly structure was broken. Competitive electricity market was formed. How to make the purchasing decisions in different market and optimize the portfolios of contracts to minimize risks and maximize profits becomes the major concern of discos. In this paper, a bi-objective programming model is established based on the Markowitz theory for the investment risk, with minimizing purchasing cost and minimizing its risks being the objectives. The necessity to study financial risks in electricity markets, the application of the Value at Risk (VaR) method and the feasibility of historical simulations are discussed.