Speaker:
Carlo Lucheroni
- Università di Camerino
Wednesday, February 24, 2016
at
12:30 PM
Polo Santa Marta, Via Cantarane 24, Stanza 1.59
In this talk we will discuss the stochastic LCOE portfolio approach to energy portfolios optimization
(introduced by Mari in Applied Energy, v.113, p.615-621, 2014), in terms of which risk measures are
more appropriate to the optimization problem in this context (based on a work submitted to Energy
Economics last December 2015).
For a given production mix, the stochastic LCOE approach replaces the standard deterministic LCOE
(Levelized Cost of Electricity) breakeven analysis of electricity production with a distribution of
possible costs, dependent on fuel and CO2 prices scenarios. This distribution turns out to be long
tailed and skewed. A Markowitz-like risk-cost analysis helps then to select the production mixes
which are optimal according to the risk measure chosen.
Whereas common risk measures like variance, VaR and CVaR come to mind as the most obvious
and best candidates, we will show that for this class of problems a much less used measure, the
CVaR Deviation, turns out to be the most interesting choice.
- Programme Director
-
Luigi
Grossi
-
External reference
-
Luigi Grossi
- Publication date
-
November 16, 2015
