robust portfolio optimization for electricity planning an application based on the brazilian electricity mix one of the major challenges of today s policy makers and industry strategists is to achieve an electricity mix that presents a high level of energy security within a range of affordable costs and environmental constraints bearing in mind the planning of a more reliable electricity mix the main contribution of this paper is to consider parameter uncertainties on the electricity portfolio optimization problem we assume that the expected and the covariance matrix of the costs for the different energy technologies such as gas coal nuclear oil biomass wind large and small hydropower are not exactly known we consider that these parameters belong to some uncertainty sets box ellipsoidal lower and upper bounds and convex polytopic three problems are analyzed i finding a energy portfolio of minimum worst case volatility with guaranteed fixed maximum expected energy cost ii finding an energy portfolio of minimum worst case expected cost with guaranteed fixed maximum volatility of the energy cost iii finding a combination of the expected and variance of the cost weighted by a risk aversion parameter these problems are written as quadratic second order cone programming socp and semidefinite programming sdp so that robust optimization tools can be applied these results are illustrated by analyzing the efficient brazilian electricity energy mix considered in losekann et al 2013 assuming possible uncertainties in the vector of expected costs and covariance matrix the results suggest that the robust approach being by nature more conservative can be useful in providing a reasonable electricity energy mix conciliating co2 emission risk and costs under uncertainties on the parameters of the model

purchase bidding strategies of an energy coalition with demand response capabilities the implementation of demand response programs drp has gained interest as a means to alleviate energy consumption during peak hours two explanations account for the success of such programs which involve both utilities and electricity consumers with the latter often organized into coalitions the system operator meets its goal of reducing the load peak simultaneously electricity consumers achieve economic benefits when reducing consumption during peak hours in this paper a monte carlo based algorithm has been proposed for the formulation of multiple purchase offers in the day ahead energy market daem by coalitions in which consumers vary in their sensitivity to drp manifesting different responsiveness to hourly tariffs based on the hourly market clearing prices being able to monitor how coalition members use air conditioning in the presence of variable hourly energy tariffs the coordinator can then define a purchase bidding strategy depending on how price sensitive the coalition is simulation results show that the presence of a price sensitive demand leads not only to a subsequent reduction in energy prices during peak hours but also leads to a decrease in their inter hour volatility

strategic demand side response to wind power integration this paper explores the effects of allowing large price responsive consumers to provide reserves in a power system with significant penetration of wind energy a bilevel optimization model represents the utility maximization problem of a large consumer subject to a stochastic day ahead co optimization of energy and reserves that a system operator would solve to clear the market while considering wind power uncertainty an examination of the market outcomes from both an illustrative and a large scale study using this model allows analysis of a the effects of the type of behavior of the large consumer i e strategic vs competitive b limits on the amount of reserves it is allowed to provide and c variability and accuracy of characterization of wind power uncertainty

forward contracts for the operation of an electricity industry under spot pricing a study is reported of the use of forward contracts as risk instruments for electricity industries operating under spot pricing forward contracts involve financial transactions or commitments which relate to a physical trade at a later time instance price setting and appropriate participant responses are discussed simulation studies are used to demonstrate that forward contracts offer participants an opportunity to reduce their risk exposure without removing the incentive to respond to higher spot prices

optimal clustering of time periods for electricity demand side management several pure binary integer optimization models are developed for clustering time periods by similarity for electricity utilities seeking assistance with pricing strategies the models include alternative objectives for characterizing various notions of within cluster distances admit as feasible only clusters that are contiguous and allow for circularity where time periods at the beginning and end of the planning cycle may be in the same cluster restrictions upon cluster size may conveniently be included without the need of additional constraints the models are populated with a real world dataset of electricity usage for 93 buildings and solutions and run times attained by conventional optimization software are compared with those by dynamic programming or by a greedy algorithm applicable to one of the models that run in polynomial time the results provide time of use segments that an electricity utility may employ for selective pricing for peak and off peak time periods to influence demand for the purpose of load leveling

effect of inter temporal factors on the real time pricing of electricity a rigorous theoretical framework for the solution of the price formation and optimal dispatch problems taking into account intertemporal dependence of demand under spot and dynamic tariffs is presented the case in which a common tariff is to be applied to all customers is examined the difference in system response for spot and day ahead dynamic tariffs is illustrated simulation examples of a variety of event types are provided

demand side bidding agents modeling and simulation problems such as price volatility have been observed in electric power markets demand side participation is frequently offered as a potential solution by promising to increase market efficiency when hockey stick type offer curves are present however the individual end consumer will surely value electricity differently which makes demand side participation difficult as a group and at a bus in this paper demand is categorized into two groups one that highly values reliability and one that does not the two types are modeled separately and a new optimal bidding function is developed and tested based on this model

genco s integrated trading decision making to manage multimarket uncertainties fossil fuel generation companies gencos trade in multiple uncertain energy markets fuel and carbon markets on upstream side while electricity market on downstream side global economic and environmental benefits lead these markets to pursue overlapping goals making them highly interactive gencos may identify optimal trading strategies for upstream and downstream trading in an integrated framework to manage an overall secure and profitable position further severe unpredictability of energy market prices may necessitate a genco to make trading plans which perform better meeting its goals under severe uncertainty of involved markets this paper proposes information gap decision theory igdt based approach to select three interrelated trading portfolios in an integrated framework results from a realistic case study provide a comprehensive decision insight to address risk averse and risk seeking behavior of genco explicitly highlighting importance of co variation in prices of interactive markets

optimal inflation policy abstract this paper considers the problem of optimal long run monetary policy it shows that optimal inflation policy involves trading off two quite different considerations first increases in the rate of inflation tax the holding of many balances leading to a deadweight loss as excessive resources are devoted to economizing on cash balances second increases in the rate of inflation raise capital intensity as long as the economy has a capital stock short of the golden rule level increases in capital intensity raise the level of consumption ignoring the second consideration leads to the common recommendation that the money growth rate be set so that the nominal interest rate is zero taking it into account can lead to significant modifications in the full liquidity rule interactions of inflation policy with financial intermediation and taxation are also considered the results taken together suggest that inflation can have important welfare effects and that optimal inflation policy is an empirical question which depends on the structure of the economy

nonoptimality of the friedman rule with capital income taxation this paper studies the efficient taxation of money and factor income in intertemporal optimizing growth models with infinite horizons transaction costs technologies and flexible prices second best optimality calls for a positive inflation tax and a non zero capital income tax when there are restrictions on taxation of production factors or profits rents our cases of nonoptimality of the friedman rule which differ from those of mulligan and sala i martin 1997 and extend substantially those of schmitt grohe and uribe 2004a follow from the violation of the diamond and mirrlees 1971 principle on production efficiency

household and industrial electricity demand in europe abstract this paper examines the electricity demand and its determinants in 29 european countries during the liberalization of the electricity market based on panel data for these countries for the years 1995 2015 and using a dynamic partial adjustment model price elasticities are estimated for both residential and industrial electricity demand these elasticities and effects of other variables on electricity consumption are estimated using both gmm generalized method of moments and ml maximum likelihood approaches it is found that the price elasticities are very small especially in the short run while the income elasticities are relatively large especially for households and in the long run

friedman rule in a model with endogenous growth and cash in advance constraint this paper introduces money into an overlapping generations model with endogenous growth the model due to docquier et al 2007 exhibits a positive intergenerational externality which precludes its laissez fair equilibrium to be optimal even if the government can control the level of physical capital and set it to satisfy the modified golden rule the main message of the paper is that as long as the modified golden rule is attained friedman rule is optimal the result holds regardless of the ability of the government to internalize the externality and control the level of human capital other results include i violation of friedman rule for a different second best environment wherein human capital accumulation is controlled but not physical capital accumulation ii existence of a negative relationship between money growth rate and the economy s endogenous growth rate and iii non uniqueness of friedman rule

evolution toward standardized market design the evolution toward the standardized market design smd is presented in this paper with references to the market developments in new zealand australia pjm iso ne and ercot in the development of market designs two main objectives market liquidity facilitating bilateral trading and pricing efficiency facilitating congestion management have been pursued the efforts to balance the seemingly conflicting objectives led to most markets designed with a uniform or zonal pricing model introduction of locational marginal pricing and evolution of transmission rights from physical to financial form made it possible to harmonize the potentially conflicting goals in a market design the close coupling between energy and ancillary services requires that markets for these commodities be carefully coordinated different operational practices and reliability standard requirements have led to major differences in ancillary service market designs

the friedman rule in an overlapping generations model with nonlinear taxation and income misreporting this paper models a two period overlapping generations economy with money populated with individuals of different skills they face a nonlinear income tax schedule and can engage in tax evasion money serves two purposes the traditional one modeled through a money in the utility function it also facilitates tax evasion the main message of the paper is that income tax evasion in this framework leads to the violation of the friedman rule the paper also shows that even in the absence of tax evasion when optimality requires differential commodity taxation complementarity of real cash balances and labor supply does not guarantee the optimality of the friedman rule as a boundary solution an additional assumption is required

fiscal incidence in an overlapping generations model with a fixed asset abstract we analyze a model of overlapping generations with a fixed factor land malleable capital and labor we consider the dynamic effects of various fiscal policies including taxes on rent wages and creation of public debt on capital accumulation land prices and intergenerational welfare minimal assumptions uniqueness and stability imply that a land tax may initially raise land values but the upper bound is less than one half of the tax revenues assuming homothetic utility the ratio between the long run capital responses to a land tax and to a lump sum transfer of equivalent revenue from the young to the old depends solely on the share of labor

the effect of demand elasticity on security prices for the poolco and multi lateral contract models optimum power flows and security constrained power flows assume that customer demand is a fixed quantity in the new competitive environment it is necessary to assume that demand is elastic and will vary as a function of price a critical element in any competitive model whether it be a poolco or a multi lateral contract model is for a system operator to ensure reliability and feasibility of the power system operating point security pricing for feasibility was first advanced by schweppe et al for the case of line flow constraints for a poolco model using geometry this paper generalizes the approach to include any security constraint for a general competitive model the paper discusses interpretations of security pricing and its possible implementation in energy management systems

who is afraid of the friedman rule in this paper we explore the connection between optimal monetary policy and het erogeneity among agents we study a standard monetary economy with two types of agents in which the stationary distribution of money holdings is non degenerate sans type specific fiscal policy we show that the zero nominal interest rate policy the friedman rule does not maximize type specific welfare it may not maximize aggregate social welfare either indeed one or more surprisingly both types may benefit if the central bank deviates from the friedman rule our results suggest a positive explanation for why central banks around the world do not implement the friedman rule

the friedman rule old and new abstract in overlapping generations models money growth creates intergenerational wealth effects and leads to the breakdown of the friedman rule the rule can be restored via lump sum tax and transfers that neutralize these wealth transfers additionally and in contrast to money in the utility function models the friedman rule is not the unique first best solution in cash in advance constraint models of money a continuum of combinations of money growth rates and consumption taxes implement the first best allocation this paper traces through the intellectual origins of the first old result which was recently restated in bhattacharya et al 2005 monetary policy fiscal policy and the inflation tax equivalence results macroeconomic dynamics 7 647 669 and formally demonstrates the second new result

benefits and challenges of electrical demand response a critical review advances in it control and forecasting capabilities have made demand response a viable and potentially attractive option to increase power system flexibility this paper presents a critical review of the literature in the field of demand response providing an overview of the benefits and challenges of demand response these benefits include the ability to balance fluctuations in renewable generation and consequently facilitate higher penetrations of renewable resources on the power system an increase in economic efficiency through the implementation of real time pricing and a reduction in generation capacity requirements nevertheless demand response is not without its challenges the key challenges for demand response centre around establishing reliable control strategies and market frameworks so that the demand response resource can be used optimally one of the greatest challenges for demand response is the lack of experience and the consequent need to employ extensive assumptions when modelling and evaluating this resource this paper concludes with an examination of these assumptions which range from assuming a fixed linear price demand relationship for price responsive demand to modelling the highly diverse distributed and uncertain demand response resource as a single centralised negative generator adopting fixed characteristics and constraints

the incidence of a tax on pure rent the old reason for the old answer the purpose of this note is to clarify the formal identities linking the problems analyzed by barro 1974 feldstein 1977 and calvo kotlikoff and rodriguez 1979 henceforth ckr and to reaffirm the traditional proposition that in both the short run and the long run a tax on pure rent is never shifted provided one adopts the traditional procedure in tax theory of analyzing the incidence of a compensated tax any uncompensated tax is equivalent to a compensated tax together with a lump sum redistribution of income and there is really nothing surprising about the fact that lump sum redistributions of income may alter relative prices as the literature on the transfer problem in international trade theory demonstrates actually situations can be found e g gorman 1953 barro 1974 calvo et al 1979 p 874 n 7 in which lump sum redistributions of income do not affect relative prices even when they do the incidence effect is often small relative to the size of the redistribution the analyses of ckr and feldstein give the impression that the classical proposition on the incidence of a tax on pure rent does not apply in a dynamic economy as feldstein points out the classical proposition that a tax on pure rent is unshifted requires that the supplies of nonland factors of production are unaltered by the introduction of the tax on land rents this static assumption of fixed factor supplies is inappropriate to the analysis of tax incidence in a dynamic economy in which the supply of capital reflects the economic choice between consumption and saving calvo et al 1979 p 869

financial bilateral contract negotiation in wholesale electricity markets using nash bargaining theory bilateral contracts are important risk hedging instruments constituting a major component in the portfolios held by many electric power market participants however bilateral contract negotiation is a complicated process as it involves risk management strategic bargaining and multi market participation this study analyzes a financial bilateral contract negotiation process between a generation company and a load serving entity in a wholesale electric power market with congestion managed by locational marginal pricing nash bargaining theory is used to model a pareto efficient settlement point the model predicts negotiation outcomes under various conditions and identifies circumstances in which the two parties might fail to reach an agreement both analysis and simulation are used to gain insight regarding how these negotiation outcomes systematically vary in response to changes in the participants risk preferences and price biases

optimization based generation asset allocation for forward and spot markets one of the most important daily decisions that a genco has to make is to allocate generation assets between the forward and spot markets that is how much capacity should be contracted in the forward market and how much should be kept to bid in spot market this paper focuses on generation asset allocation between monthly forward contracts such as bilateral contracts futures contracts options contracts and daily spot markets considering operating costs and constraints of generating units as well as spot price risk the problem is to find the optimal hedging position based on the known forward price and the forecasted hourly spot prices and is formulated based on the model of pjm market the double dynamic programming method is applied to solve this optimal asset allocation problem with all the short term operating constraints of the generating unit satisfied three types of forward contracts that are commonly used in practice are considered and their impact on generation asset allocation are analyzed and compared the analytic relationship between the optimal contract quantity of a particular type and spot generation is established based on this relationship the applicability and characteristics of a particular type of contract are discussed furthermore with the solution to the generation asset allocation problem as a basis the pricing strategy in the forward market is analyzed a nash game model is established and an iterative process is developed to determine the equilibrium pricing of futures contracts numerical testing shows that the method for the generation asset allocation is effective various factors influencing the decision of generation asset allocation and the relationship between futures contract price and spot price are tested and analyzed

does aid matter measuring the effect of student aid on college attendance and completion does student aid increase college attendance or simply subsidize costs for infra marginal students settling the question empirically is a challenge because aid is correlated with many characteristics that influence educational investment decisions a shift in financial aid policy that affects some youth but not others can provide an identifying source of variation in aid in 1982 congress eliminated the social security student benefit program which at its peak provided grants totaling 3 7 billion a year to one out of ten college students using the death of a parent as a proxy for social security beneficiary status i find that offering 1 000 1998 of grant aid increases educational attainment by about 0 16 years and the probability of attending college by four percentage points the elasticities of attendance and completed years of college with respect to schooling costs are 0 7 to 0 8 the evidence suggests that aid has a threshold effect a student who has crossed the hurdle of college entry with the assistance of aid is more likely to continue schooling later in life than one who has never attempted college this is consistent with a model in which there are fixed costs of college entry finally a cost benefit analysis indicates that the aid program examined by this paper was a cost effective use of government resources this abstract was borrowed from another version of this item

on a simple rule for the optimal inflation rate in second best taxation abstract the optimal inflation rate is analyzed in the framework of dynamic second best with endogenous factor prices it is shown that when the marginal excess burden of taxation is relatively small the optimal inflation rate is approximated by a simple rule the paper also analyzes the robustness of this rule to the specification of the model money as an input in utility or production

uniform marginal pricing for the remuneration of distribution networks a new method for distribution access via uniform pricing for the remuneration of distribution networks is presented the proposed approach merges in a unified framework the investments the optimal network operation requirements the effect of the price elasticity of demand and the application of hourly pricing for demand side management purposes hourly uniform marginal prices understood as tariffs of use of the network are obtained from maximum social welfare condition sending efficient signals to the utility and consumers related to the optimal operation of the grid and use of the energy at peak and valley hours this method is used in the context of a performance based ratemaking regulation to get model companies from operational optimized real networks capital fees are integrated in the marginal tariff of use by means of the new replacement value concept broadly used in yardstick competition the model is stated as a mixed integer linear optimization problem suitable to be solved through well known linear programming tools the methodology has been successfully tested in a 42 bus test distribution network

inflation and capital accumulation under a finite horizon abstract the effect of inflation on demand for capital and the aggregate capital labor ratio is investigated in a finite horizon utility maximization model it is shown that deriving saving and asset choice decisions from utility maximization does not in itself lead to superneutrality independence of steady state capital labor ratio from the rate of monetary growth as in the work of sidrauski and that a finite horizon is crucial in explaining this difference it is further shown that it is possible under very general conditions to show that increases in the rate of inflation will increase the aggregate capital labor ratio allowing us to extend the mundell tobin effect to a wider class of models

wind power offering strategy in day ahead markets employing demand response in a two stage plan this paper deals with wind power offering strategies in day ahead markets a new plan is proposed in which a wind power producer participates in the day ahead market while employing demand response dr to smooth its power variations in this context a new dr scheme is presented through which the wind power producer is able to achieve dr by establishing various dr agreements with dr aggregators the proposed offering plan involves two stages the first stage clears on the day ahead market the wind power producer decides on day ahead offers as well as dr agreements with the aggregator the second stage takes place on the balancing market in a successive approach the wind power producer determines its energy trading for each period until the whole day is covered additionally proper dr agreements for each period are confirmed here the proposed plan is formulated in a stochastic programming approach where its validity is assessed on a case of the nordic market

factoring the elasticity of demand in electricity prices as electricity markets are liberalized consumers become exposed to more volatile electricity prices and may decide to modify the profile of their demand to reduce their electricity costs this paper analyzes the effect that the market structure can have on the elasticity of the demand for electricity it then describes how the consumers behavior can be modeled using a matrix of self and cross elasticities it is shown how these elasticities can be taken into consideration when scheduling generation and setting the price of electricity in a pool based electricity market these concepts are illustrated using a 26 generator system

strategic bidding in secondary reserve markets electricity markets are based on several sequential energy and reserve trading mechanisms to constantly maintain the balance between generation and demand during the last years reserve markets are getting much importance all around the world with the increasing social awareness of the renewable energy benefits additional reserve quantities and larger remunerations are being implemented by the regulators since this renewable energy is highly dependent on weather conditions uncertainties utilities are therefore demanding more and more powerful models to better optimize their reserve bidding curves to be sent to the system operators this paper describes a new methodology to obtain an optimized real bidding curve for the secondary spinning reserve market the approach is based on the maximization of a company profit assuming a set of residual demand curves scenarios for its competitors representation and considering the day ahead market opportunity cost to build the reserve cost curve the case study validates the main features of the proposed methodology by its application to the spanish secondary reserve market this methodology is being daily used by one of the most important electricity companies in spain

value of price responsive load for wind integration in unit commitment the ability of load to respond to short term variations in electricity prices plays an increasingly important role in balancing short term supply and demand especially during peak periods and in dealing with fluctuations in renewable energy supplies however price responsive load has not been included in standard models for defining the optimal scheduling of generation units in short term here elasticities are included to adjust the demand profile in response to price changes including cross price elasticities that account for load shifts among hours the resulting peak reductions and valley fill alter the optimal unit commitment enhancing demand response also increases the amount of wind power that can be economically injected further wind power uncertainty can be managed at a lower cost by adjusting electricity consumption in case of wind forecast errors which is another way in which demand response facilitates the integration of intermittent renewables

dynamic pricing design for demand response integration in power distribution networks this paper presents optimal pricing design for demand response dr integration in the distribution network in particular we study the energy scheduling problem for a load serving entity lse that serves two types of loads namely inflexible and flexible loads inflexible loads are charged under a regular pricing tariff while flexible loads enjoy a dynamic pricing tariff that ensures cost saving for them moreover flexible loads are assumed to be aggregated by several dr aggregators the interaction between the lse and its customers is formulated as a bilevel optimization problem where the lse is the leader and dr aggregators are the followers the optimal solution of this problem corresponds to the optimal pricing tariff for flexible loads the key advantage of the proposed model is that it can be readily implemented thanks to its compatibility with existing pricing structures in the retail market extensive numerical results show that the proposed approach provides a win win solution for both the lse and its customers

a real options evaluation model for the diffusion prospects of new renewable power generation technologies this study presents a policy planning model that integrates learning curve information on renewable power generation technologies into a dynamic programming formulation featuring real options analysis the model recursively evaluates a set of investment alternatives on a year by year basis thereby taking into account that the flexibility to delay an irreversible investment expenditure can profoundly affect the diffusion prospects of renewable power generation technologies price uncertainty is introduced through stochastic processes for the average wholesale price of electricity and for input fuel prices demand for electricity is assumed to be increasingly price sensitive as the electricity market deregulation proceeds reflecting new options of consumers to react to electricity price changes such as time of use pricing unbundled electricity services and choice of supplier the empirical analysis is based on data for the turkish electricity supply industry apart from general implications for policy making it provides some interesting insights about the impact of uncertainty and technical change on the diffusion of various emerging renewable energy technologies

financial student aid and enrollment in higher education new evidence from germany means tested student aid might affect enrollment in higher education to derive the potential influence of student aid we use a tax benefit microsimulation model the effect is a non linear function of parental income with variation as a result of bracket creeping and various reforms therefore the effect of student aid on enrollment can be separated from the effects of income and other family characteristics using the german socio economic panel we find a small but significant positive effect similar in size to the effects reported in previous studies for european countries but smaller than in the us

priority service pricing investment and market organization tingent forward delivery contracts offered by a seller each customer s selection of one contract from the menu determines the customer s service order or priority in each contingency the seller rations supplies by serving customers in order of their selected priorities until the supply is exhausted or all customers are served various forms of priority service are widely

optimization of electricity retailer s contract portfolio subject to risk preferences when an electricity retailer faces volume risk in meeting load and spot price risk in purchasing from the wholesale market conventional risk management optimization methods can be quite inefficient for the management of an electricity contract portfolio in this context we develop a multistage stochastic optimization approach which accounts for the uncertainties of both electricity prices and loads and which permits the specification of conditional value at risk requirements to optimize hedging across intermediate stages in the planning horizons our experimental results based on real data from nordpool suggest that the modeling of price and load correlations is particularly important the sensitivity analysis is extended to characterize the behavior of retailers with different risk attitudes thus we observe that a risk neutral retailer is more susceptible to price related than load related uncertainties in terms of the expected cost of satisfying the load and that a risk averse retailer is especially sensitive to the drivers of the forward risk premium

the optimal rate of inflation and taxation abstract we investigate the optimal rate of inflation in a finitely lived individual model using the optimal commodity tax framework the inefficiency in dynamic allocation of the economy should be taken into account in optimal monetary policy the optimal rate of inflation may be positive when the steady state capital labor ratio is relatively smaller than the first best level

walrasian market clearing for demand response exchange this paper presents the design and evaluation of an effective market clearing scheme for trading demand response dr in a deregulated power system the proposed scheme is called demand response exchange drx in which dr is treated as a public good to be exchanged between two groups of participating agents namely dr buyers and dr sellers while buyers require dr and are willing to pay for it sellers have the capacity to curtail customer loads to supply dr on request the drx market clearing scheme uses walrasian auctions where agents update their dr quantity bids in response to prices adjusted by the market operator this auction is repeated iteratively until market equilibrium is obtained at the point where the market outcome is proven to be pareto optimal the proposed scheme is tested on a small power system and its effectiveness substantiated

economic incentives and the demand for higher education to what extent do economic incentives affect the demand for higher education this question is addressed by means of a time series analysis of the demand for university education in sweden the bulk of the variation in the fraction of qualified individuals enrolled at universities is attributed to fluctuations in the university wage premium furthermore relative employment prospects for university graduates and variations in the generosity of the study allowance scheme appear to be of importance for the enrollment decision

financial optimization in the turkish electricity market markowitz s mean variance approach abstract electricity constitutes the input into many products that produced by industry and used by people hence it can be considered as a product or service that has vital importance in human life and economy since it has such special properties of instantaneous production and consumption obligation and unfeasible storage electricity market is not like other markets in a competitive electricity market generation company faces price risks and delivery risks so that risk management is an important part of a generation company and can deeply effect companies profitability this paper focuses on electricity generation asset allocation between bilateral contracts such as forward contracts and daily spot market considering constraints of generating units and spot price risks the problem is to find the optimal portfolio based on known electricity generation total costs bilateral contract prices it employed turkish historical balanced market hourly system marginal and day ahead hourly market prices between of 2006 and 2011 there are limited studies about portfolio optimization in electricity markets in literature and this paper should be considered frontier study taking spot market s hourly prices separately as risky assets markowitz mean variance optimization which is claimed to be the beginning of modern portfolio theory in financial sector is used to demonstrate this approach mean variance optimization has been successfully applied to all cases that modeled for electricity market some suggestions for future work are also listed in this paper

assessment and simulation of the responsive demand potential in end user facilities application to a university customer many problems have appeared with the practical implementation of restructured electrical business in the u s and european union such as lack of generation network constraints etc a good example of these problems is the scarce participation of the demand in the electricity markets energy reserve and other ancillary services problems that could be solved through new demand responsive programs aimed to replace the traditional demand side management programs into voluntary demand participation programs a methodology for the generation of demand side bids and offers in large customer facilities and a real application to a university customer is presented in this paper the methodology is based on the knowledge of the physical processes involved in the electricity consumption and on the flexibility of the required supply the result of the methodology proposed is a set of demand packages that can be used to participate in different electricity markets whose possibilities in the market arena will be explored in a consequent paper

incidence and efficiency aspects of differential taxation of residential and industrial capital in a growing economy abstract this paper demonstrates that a compensated tax on income from residential capital would increase the steady state capital intensity in the industrial sector of the economy consequently the wage would rise and the gross of tax rate of return to capital in the industrial sector would fall the price of housing services may change in either direction secondly it is shown that maximization of steady state welfare requires different tax rates on income from residential and non residential capital it is demonstrated that if the gross of tax rate of return to capital in the industrial sector exceeds the population growth rate a compensated tax on residential capital or a compensated subsidy on non residential capital would enhance the steady state level of welfare conversely if the rate of population growth is greater than the gross of tax rate of return to capital in the industrial sector non residential capital should be taxed and residential capital should be subsidized

a bilevel model for electricity retailers participation in a demand response market environment abstract demand response programmes are seen as one of the contributing solutions to the challenges posed to power systems by the large scale integration of renewable power sources mostly due to their intermittent and stochastic nature among demand response programmes real time pricing schemes for small consumers are believed to have significant potential for peak shaving and load shifting thus relieving the power system while reducing costs and risk for energy retailers this paper proposes a game theoretical model accounting for the stackelberg relationship between retailers leaders and consumers followers in a dynamic price environment both players in the game solve an economic optimisation problem subject to stochasticity in prices weather related variables and must serve load the model allows the determination of the dynamic price signal delivering maximum retailer profit and the optimal load pattern for consumers under this pricing the bilevel programme is reformulated as a single level milp which can be solved using commercial off the shelf optimisation software in an illustrative example we simulate and compare the dynamic pricing scheme with fixed and time of use pricing we find that the dynamic pricing scheme is the most effective in achieving load shifting thus reducing retailer costs for energy procurement and regulation in the wholesale market additionally the redistribution of the saved costs between retailers and consumers is investigated showing that real time pricing is less convenient than fixed and time of use price for consumers this implies that careful design of the retail market is needed finally we carry out a sensitivity analysis to analyse the effect of different levels of consumer flexibility

wheeling of power under deregulated environment of power system a bibilographical survey the power industry is moving rapidly from regulated conventional setup to a deregulated environment there is an urgent need to keep a track of international experiences and activities taking place in this emerging field this paper gives a bibliographical survey and general backgrounds of research and development in the field of power system wheeling under deregulated environment based on over 170 published articles wheeling in general and the establishment of wheeling rate in particular are subjects of extensive debate today this will be very much useful for all countries especially those developing countries which are moving toward the unbundling of electricity supply industry esi the collected literature have been divided into many section so that new researchers do not face any difficulty for obtaining literature particularly in the area of wheeling of power under deregulated environment

lump sum taxation and the superneutrality and optimum quantity of money in life cycle growth models abstract the question of superneutrality and the optimum quantity of money is addressed in a model where money services enter the utility function and where individuals have finite lives it is demonstrated that the existing result in the literature regarding a positive relationship between money creation and the steady state capital intensity and welfare is not due to monetary policy per se on the contrary this is shown to arise because of the intergenerational wealth effects embedded in the manner in which money is created assuming that preferences are separable between consumption goods and real balances and that the consumption goods are normal it is proved that i money is superneutral and ii any other money supply rule is pareto inferior to the chicago rule provided that the government also embarks on a policy of wealth redistribution across generations through the imposition of appropriate lump sum taxes and transfers

the impact of systematic changes in weather on the supply and demand of beverages abstract weather especially temperature plays an important role in determining the supply and demand for a vast variety of goods and services though the economic impact of extreme weather is often measured and reported the impact of systematic changes in weather such as long term temperature trends or short term heat and cold waves are seldom quantified in this research we posit that such systematic changes in temperature impact the profitability of firms and we develop a two step econometric model to quantify the impact the proposed two step model estimates the impact that temperature has on the profitability of firms and partitions this impact into a long term and a short term component we take up the case of six liquid refreshment beverages lrbs for illustrating the impact that systematic change in temperature has on demand the results indicate that a the demand for lrbs is increasing by about 0 21 63 million gallons from year to year on account of the rising temperature trend and b there is an asymmetry in the effect of a heat wave versus a cold wave on beverage demand i e the weekly demand for beverages increases by about 2 1 per degree on account of a heat wave while the weekly demand decreases by only 0 4 per degree on account of a cold wave we also illustrate how these estimates of the impact of the long term temperature trends could be linked to strategic decisions such as facility location and the estimates of the impact of the short term temperature aberrations could be linked to operational decisions such as the inventory order quantity in a week when there is a temperature aberration

optimal planning to include storage devices in power systems it is difficult to forecast renewable energy resources due to their variability high uncertainty of the resources increases the concern about the reliable operation of the electric power system storage devices have been considered a candidate to control variable energy resources and most studies on storage devices are performed in the economic dispatch therefore electric power adequacy may be an issue in this paper a new approach in the optimal power flow framework is proposed for deploying storage devices and the feasibility and economic impact analyses are discussed

risk assessment in energy trading this paper provides a state of the art summary of risk assessment in energy trading techniques from financial engineering are needed by electric energy companies to manage price risk these tools are needed by suppliers distributors and traders in a competitive electric power marketplace tools that have been adapted to the specific environment of the electric power system include portfolio analysis and hedging instruments this paper provides a comprehensive critical literature survey of what has been applied to date in the power markets and which areas continue to need additional research one example market scenario is used throughout the paper to demonstrate the usefulness of the risk assessment methods

purchase allocation and demand bidding in electric power markets the purchase allocation problem is one of the most important problems faced by an electric energy service provider under new market environments the optimal purchase allocation problem for dual electric power markets and demand bid generation are discussed in this paper the price volatility is explicitly considered in purchase allocation problems and the sequential nature is modeled by conditional stochastic characteristics an analytical solution for the optimal allocation is derived with given demand and statistical characteristics of the market prices the method for generating demand bids for purchaser based on market allocation and price forecasting is then developed the numerical simulations for market allocation and bid generation are demonstrated based on the actual data of the u s california power market

hedging with futures contracts in a deregulated electricity industry this paper is a statistical study of direct and cross hedging strategies using futures contracts in an electricity market a comparison of the strategies is based on the standard deviation or risk of the values of the hedging positions results indicate that the use of electricity futures contracts is superior to using other related futures contracts such as crude oil

portfolio optimization under lower partial moments in emerging electricity markets evidence from turkey abstract optimization of the electricity markets under modern portfolio theory has a crucial role for financial decision makers power suppliers in deregulated electricity markets need to optimize their generation capacities and bidding strategies so as to effectively participate in bilateral contract and spot markets market players have to deal with continuously changing electricity prices in competitive electricity market environment during their daily routine system operations electricity not like the others is a unique product service and cannot be stored economically however it should be generated and consumed simultaneously in addition to all power suppliers face with fuel price water regime delivery and network risks in view of the scene described above prudent decision making methodologies are of critical importance to maximize profit while minimizing managing risks this paper presents a comprehensive comparison of mean variance down side and semi variance methods for optimization in electricity markets and the corresponding methodologies to maximize the return while minimizing risk real turkish day ahead market data set between december 2009 and december 2012 is used in numerical calculations generation cost data of hydraulic plants lignite coal fired thermal power plants and natural gas combined cycle power plants are taken into consideration in the course of optimization evaluations in the present of real data these methods can also be applied to renewable energy generation types these three methods were able to be applied to all case scenarios effectively and produced efficient frontiers optimal minimal portfolios and utility functions successfully the results have revealed that the methods significantly provide decisions for power suppliers with different risk aversion levels and for various instruments to maximize the profit while minimizing the associated market risks and to meet generation obligations consequently financial optimization under lower partial moments constraints would give notable results in analyzing the efficient frontiers for electricity markets in turkey

estimating the effect of financial aid offers on college enrollment a regression discontinuity approach an important problem faced by colleges and universities that of evaluating the effect of their financial aid offers on student enrollment decisions is complicated by the likely endogeneity of the aid offer variable in a student enrollment equation this article shows how discontinuities in an east coast college s aid assignment rule can be exploited to obtain credible estimates of the aid effect without having to rely on arbitrary exclusion restrictions and functional form assumptions semiparametric estimates based on a regression discontinuity rd approach affirm the importance of financial aid as an effective instrument in competing with other colleges for students

the liquidity trap the real balance effect and the friedman rule this paper studies the behavior of the economy and the efficacy of monetary policy under zero nominal interest rates using a model with population growth that nests as a special case a more conventional specification in which there is a single infinitely lived representative agent the paper shows that with a growing population monetary policy has distributional effects that give rise to a real balance effect thereby eliminating the liquidity trap these same distributional effects however can also work to make many agents much worse off under zero nominal interest rates than they are when the nominal interest rate is positive

a monte carlo based decision support tool for assessing generation portfolios in future carbon constrained electricity industries abstract this paper presents a novel decision support tool for assessing future generation portfolios in an increasingly uncertain electricity industry the tool combines optimal generation mix concepts with monte carlo simulation and portfolio analysis techniques to determine expected overall industry costs associated cost uncertainty and expected co 2 emissions for different generation portfolio mixes the tool can incorporate complex and correlated probability distributions for estimated future fossil fuel costs carbon prices plant investment costs and demand including price elasticity impacts the intent of this tool is to facilitate risk weighted generation investment and associated policy decision making given uncertainties facing the electricity industry applications of this tool are demonstrated through a case study of an electricity industry with coal ccgt and ocgt facing future uncertainties results highlight some significant generation investment challenges including the impacts of uncertain and correlated carbon and fossil fuel prices the role of future demand changes in response to electricity prices and the impact of construction cost uncertainties on capital intensive generation the tool can incorporate virtually any type of input probability distribution and support sophisticated risk assessments of different portfolios including downside economic risks it can also assess portfolios against multi criterion objectives such as greenhouse emissions as well as overall industry costs

influence of price responsive demand shifting bidding on congestion and lmp in pool based day ahead electricity markets this paper investigates the influence of price responsive demand shifting bidding on congestion and locational marginal prices in pool based day ahead electricity markets the market dispatch problem of the pool based day ahead electricity market is formulated as to maximize the social welfare of market participants subject to operational constraints given by real and reactive power balance equations and security constraints in the form of apparent power flow limits over the congested lines the social welfare objective function of the day ahead market dispatch problem maximizes the benefit of distribution companies and other bulk consumers based on their price responsive demand shifting bids and minimizes the real and reactive power generation cost of generation companies the price responsive demand shifting bidding mechanism which has been recently introduced in the literature is able to shift the price responsive demand from the periods of high price to the periods of low price in day ahead electricity markets the comparisons of the price responsive demand shifting bids with conventional price responsive and price taking bids are presented by solving hourly market dispatch problems on five bus ieee 30 bus realistic up 75 bus indian and ieee 118 bus systems for 24 h scheduling period it has been demonstrated that the proposed approach leads to reduction in congestion and locational marginal prices as compared to price responsive and price taking bids and meets the energy consumption targets of distribution companies bulk consumers

sub optimality of the friedman rule in townsend s turnpike and stochastic relocation models of money do finite lives and initial dates matter abstract the friedman rule a widely studied prescription for monetary policy is optimal in townsend s turnpike model of money it is not so in the overlapping generations version of his stochastic relocation model of money we investigate these monetary models in the light of this disparity to this end we create a modified version of the turnpike model that generates the same stationary monetary equilibria as does the two period overlapping generations model with random relocation we exploit this equivalence to explain the aforementioned disparity we also discuss the importance of whether or not the economy has an initial date

managing price risk in a multimarket environment in a competitive electricity market a generation company genco can manage its trading risk through trading electricity among multiple markets such as spot markets and contract markets the question is how to decide the trading proportion of each market in order to maximize the genco s profit and minimize the associated risk based on the mean variance portfolio theory this paper proposes a sequential optimization approach to electric energy allocation between spot and contract markets taking into consideration the risks of electricity price congestion charge and fuel price especially the impact of the fuel market on electric energy allocation is analyzed and simulated with historical data in respect of the electricity market and other fuel markets in the u s simulation results confirm that the proposed analytic approach is consistent with intuition and therefore reasonable and feasible for a genco to make a trading plan involving risks in an electricity market

college entry by blacks since 1970 the role of college costs family background and the returns to education college enrollment of black 18 19 year old high school graduates declined from 1980 through 1984 and then rebounded after 1984 this paper presents data from a time series of cross sections of 18 19 year old youths from 1973 through 1988 to test the role of family background direct college costs local economic conditions and returns to college in driving these trends the evidence suggests that on the one hand increases in direct college costs were driving enrollment rates downward throughout the eighties on the other hand dramatic increases in average parental education for black youths exerted upward pressure on college enrollment by blacks particularly in the latter half of the decade the net effect of these two factors contributed to the pattern of decline and recovery observed during the eighties

a diffusion model based supply side offer agent worldwide energy markets have been on a path toward deregulation for several decades these markets have proven to be difficult to design and run because of their repetitive nature and the externalities provided by reliable grid operation in a deregulated market environment our experiments suggest that market participants will pursue their own profit maximizing objective rather than use an objective that reflects social benefit multiagent simulation is useful for gaining insights into market participant behavior under various rules in this way market rules can be tested for efficacy and efficiency in this paper an agent based on a double layer diffusion model developed elsewhere is tested and its effectiveness reported