Risk Trading in a Chance-Constrained Stochastic Electricity Market
Volume: 5, Issue: 1, Pages: 199 - 204
Published: Jan 1, 2021
Abstract
Existing electricity market designs assume risk neutrality and lack risk-hedging instruments, which leads to suboptimal market outcomes and reduces the overall market efficiency. This letter enables risk-trading in the chance-constrained stochastic electricity market by introducing Arrow-Debreu Securities (ADS) and derives a risk-averse market-clearing model with risk trading. To enable risk trading, the probability space of underlying...
Paper Details
Title
Risk Trading in a Chance-Constrained Stochastic Electricity Market
Published Date
Jan 1, 2021
Volume
5
Issue
1
Pages
199 - 204
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