Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.9/3701 |
Resumo: | ABSTRACT: The liberalization of energy markets brought full competition to the electric power industry. In the wholesale sector, producers and retailers submit bids to day-ahead markets, where prices are uncertain, or alternatively, they sign bilateral contracts to hedge against pool price volatility. In the retail sector, retailers compete to sign bilateral contracts with end-use customers. Typically, such contracts are subject to a high-risk premium—that is, retailers request a high premium to consumers to cover their potential risk of trading energy in wholesale markets. Accordingly, consumers pay a price for energy typically higher than the wholesale market price. This article addresses the optimization of the portfolios of retailers, which are composed of end-use customers. To this end, it makes use of a risk-return optimization model based on the Markowitz theory. The article presents a simulation-based study conducted with the help of the MATREM system, involving 6 retailer agents, with different risk preferences, and 312 real-world consumers. The retailers select a pricing strategy and compute a tariff to offer to target consumers, optimize their portfolio of consumers using data from the Iberian market, sign bilateral contracts with consumers, and compute their target return during contract duration. The results support the conclusion that retail markets are more favourable to risk-seeking retailers, since substantial variations in return lead to small variations in risk. However, for a given target return, risk-averse retailers consider lower risk portfolios, meaning that they may obtain higher returns in both favourable and unfavourable situations. |
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Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumersElectricity marketsMulti-agent systemsTrading strategiesAgent-based modelingMATREM systemABSTRACT: The liberalization of energy markets brought full competition to the electric power industry. In the wholesale sector, producers and retailers submit bids to day-ahead markets, where prices are uncertain, or alternatively, they sign bilateral contracts to hedge against pool price volatility. In the retail sector, retailers compete to sign bilateral contracts with end-use customers. Typically, such contracts are subject to a high-risk premium—that is, retailers request a high premium to consumers to cover their potential risk of trading energy in wholesale markets. Accordingly, consumers pay a price for energy typically higher than the wholesale market price. This article addresses the optimization of the portfolios of retailers, which are composed of end-use customers. To this end, it makes use of a risk-return optimization model based on the Markowitz theory. The article presents a simulation-based study conducted with the help of the MATREM system, involving 6 retailer agents, with different risk preferences, and 312 real-world consumers. The retailers select a pricing strategy and compute a tariff to offer to target consumers, optimize their portfolio of consumers using data from the Iberian market, sign bilateral contracts with consumers, and compute their target return during contract duration. The results support the conclusion that retail markets are more favourable to risk-seeking retailers, since substantial variations in return lead to small variations in risk. However, for a given target return, risk-averse retailers consider lower risk portfolios, meaning that they may obtain higher returns in both favourable and unfavourable situations.ElsevierRepositório do LNEGAlgarvio, HugoLopes, Fernando2022-01-17T17:24:37Z2022-05-01T00:00:00Z2022-05-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.9/3701engAlgarvio, Hugo... [et.al.] - Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers. In: International Journal of Electrical Power and Energy Systems, 2022, Vol. 137, article nº 1076870142-061510.1016/j.ijepes.2021.107687info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2022-09-06T12:29:26Zoai:repositorio.lneg.pt:10400.9/3701Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T15:36:54.850423Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers |
title |
Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers |
spellingShingle |
Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers Algarvio, Hugo Electricity markets Multi-agent systems Trading strategies Agent-based modeling MATREM system |
title_short |
Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers |
title_full |
Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers |
title_fullStr |
Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers |
title_full_unstemmed |
Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers |
title_sort |
Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers |
author |
Algarvio, Hugo |
author_facet |
Algarvio, Hugo Lopes, Fernando |
author_role |
author |
author2 |
Lopes, Fernando |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório do LNEG |
dc.contributor.author.fl_str_mv |
Algarvio, Hugo Lopes, Fernando |
dc.subject.por.fl_str_mv |
Electricity markets Multi-agent systems Trading strategies Agent-based modeling MATREM system |
topic |
Electricity markets Multi-agent systems Trading strategies Agent-based modeling MATREM system |
description |
ABSTRACT: The liberalization of energy markets brought full competition to the electric power industry. In the wholesale sector, producers and retailers submit bids to day-ahead markets, where prices are uncertain, or alternatively, they sign bilateral contracts to hedge against pool price volatility. In the retail sector, retailers compete to sign bilateral contracts with end-use customers. Typically, such contracts are subject to a high-risk premium—that is, retailers request a high premium to consumers to cover their potential risk of trading energy in wholesale markets. Accordingly, consumers pay a price for energy typically higher than the wholesale market price. This article addresses the optimization of the portfolios of retailers, which are composed of end-use customers. To this end, it makes use of a risk-return optimization model based on the Markowitz theory. The article presents a simulation-based study conducted with the help of the MATREM system, involving 6 retailer agents, with different risk preferences, and 312 real-world consumers. The retailers select a pricing strategy and compute a tariff to offer to target consumers, optimize their portfolio of consumers using data from the Iberian market, sign bilateral contracts with consumers, and compute their target return during contract duration. The results support the conclusion that retail markets are more favourable to risk-seeking retailers, since substantial variations in return lead to small variations in risk. However, for a given target return, risk-averse retailers consider lower risk portfolios, meaning that they may obtain higher returns in both favourable and unfavourable situations. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-01-17T17:24:37Z 2022-05-01T00:00:00Z 2022-05-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.9/3701 |
url |
http://hdl.handle.net/10400.9/3701 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Algarvio, Hugo... [et.al.] - Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers. In: International Journal of Electrical Power and Energy Systems, 2022, Vol. 137, article nº 107687 0142-0615 10.1016/j.ijepes.2021.107687 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799130235920187392 |