Document Type : Research Paper
Authors
^{1} Department of Industrial Management, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran.
^{2} Department of Management, Faculty of Social Sciences and Economics, Alzahra University, Tehran, Iran.
^{3} Department of Industrial Engineering and Management, Rouzbahan Educational Institute, Sari, Iran.
^{4} Department of Industrial Engineering, Aliabad Katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
Abstract
Keywords
[1] SafariFarmad, Hadi. "A Novel Riskbased Energy Acquisition Model for a Distribution Company", Iranian Electric Industry Journal of Quality and Productivity.4.(1), pp. 313 (2015).
[2] Golmohamadi, H., Keypour, R., & Hassanpour, A. "Optimization of a Green Energy Portfolio in a Retail Electricity Market Considering Consumers’ Elasticity", 46 (1) (2016).
[3] Sadeghih Hossain, biabany khameneh Kazemi. "Financial Optimization in the Electricity Market", Application of portfolio theory, Iran Journal of Energy., 18 (1) (2015).
[4] Mosavizadeh Mirsaeed. "Investigating the efficiency of the energy exchange from the viewpoint of manufacturing companies", Iran Grid Management Company., (2018).
[5] Baraty Masood, Nikkhah Mojdehi Mohammad and Kazemi Ahad. "Optimal Price and Quantity Determination of Retailer Electric Contract and maximizing social welfare in Retail Electrical Power Markets with DG", Optimization and Control., pp. 16 (2005).
[6] Liu, Min, and Felix F. Wu. "Portfolio optimization in electricity markets." Electric Power systems research, 77(8), pp.10001009. (2007):
[7] Liu, M., & Wu, F. F. "Risk management in a competitive electricity market", International Journal of Electrical Power & Energy Systems., 29(9), pp. 690697 (2007).
[8] Fabozzi, F. J., Kolm, P. N., Pachamanova, D. A., & Focardi, S. M. Robust "portfolio optimization" The Journal of portfolio management., 33(3), pp. 4048 (2007).
[9] Gökgöz, Fazıl, and Mete Emin Atmaca. "Portfolio optimization under lower partial moments in emerging electricity markets: Evidence from Turkey." Renewable and Sustainable Energy Reviews 67, pp 437449 (2017)
[10] Eichhorn, A., & Romisch, W. "Dynamic risk management in electricity portfolio optimization via polyhedral risk functionals", In 2008 IEEE Power and Energy Society General MeetingConversion and Delivery of Electrical Energy in the 21st Century., pp. 18 (2008).
[11] Zare, K., Conejo, A. J., Carrión, M., & Moghaddam, M. P. "Multimarket energy procurement for a large consumer using a riskaversion procedure", Electric Power Systems Research., 80(1), pp. 6370 (2010).
[12] Rebennack, S., Kallrath, J., & Pardalos, P. M. "Energy portfolio optimization for electric utilities: case study for Germany", In Energy, Natural Resources and Environmental Economics,. pp. 221246 (2010).
[13] Kettunen, J., Salo, A., & Bunn, D. W. "Optimization of electricity retailer's contract portfolio subject to risk preferences", IEEE Transactions on Power Systems., 25(1), pp. 117128 (2009).
[14] Zare, K., Moghaddam, M. P., & SheikhElEslami, M. K. "Riskbased electricity procurement for large consumers", IEEE Transactions on Power Systems., 26(4), pp. 18261835 (2011).
[15] ManotasDuque, D. F., Oliveros, D. A., Taborda, H. F., VidalHolguín, C. J., & Lozano, C. A. "Energy supply optimization for unregulated consumers", Ingeniería y Competitividad., 16(1), pp. 97107 (2014)
[16] Ericsson, Oskar. "Risk Analysis Against Electricity Market Index and Portfolio Optimisation." (2014).
[17] Kim, J. H., Kim, W. C., & Fabozzi, F. J. "Recent developments in robust portfolios with a worstcase approach" Journal of Optimization Theory and Applications., 161(1), pp. 103121 (2014).
[18] Mathuria, P., & Bhakar, R. "Integrated risk management model for portfolio selection in multiple markets" In 2014 IEEE PES General Meeting Conference & Exposition., pp.15 (2014).
[19] Lorca, Á, & Prina, J. "Power portfolio optimization considering locational electricity prices and risk management" Electric Power Systems Research., 109, pp. 8089 (2014).
[20] Glensk Barbara and Reinhard Madlener "Review of selected Methods for portfolio optimization and Irreversible investment in power generation under uncertainly" Central European Journal of Social Sciences and Humanities., 247. pp. 2042 (2015).
[21] Marrero, G. A., Puch, L. A., & RamosReal, F. J. "Meanvariance portfolio methods for energy policy risk management" International Review of Economics & Finance., 40, pp. 246264 (2015)
[22] Garcia, R. C., González, V., Contreras, J., & Custodio, J. E. "Applying modern portfolio theory for a dynamic energy portfolio allocation in electricity markets" Electric Power Systems Research., 150, pp. 1123 (2017).
[23] Algarvio, H., Lopes, F., Sousa, J., & Lagarto, J. "Multiagent electricity markets: Retailer portfolio optimization using Markowitz theory". Electric Power Systems Research., 148, pp. 282294 (2017).
[24] De Filippo, A., Lombardi, M., & Milano, M. "Useraware electricity price optimization for the competitive market" Energies., 10(9), 1378 (2017).
[25] Rocha, P., & Kuhn, D. "Multistage stochastic portfolio optimization in deregulated electricity markets using linear decision rules" European Journal of Operational Research., 216(2), pp. 397408 (2012)
[26] Ahmadi, S. A., Mirlohi, S. M., Ahmadi, M. H., & Ameri, M. "Portfolio optimization of power plants by using renewable energy in Iran. International Journal of LowCarbon Technologies"., 16(2), pp. 463475 (2021)
[27] Ah, B., Wang, F., Xie, J., & Sun, X. Electricity Retailer trading portfolio optimization considering risk assessment in the Chinese electricity market" Electric Power Systems Research., 190, 106833, (2021).
[28] Faia, R., Pinto, T., Vale, Z., & Corchado, J. M. "Portfolio optimization of electricity markets participation using forecasting error in risk formulation" International Journal of Electrical Power & Energy Systems., 129, 106739, (2021).
[29] Ray, J., Bhattacharyya, S., & Singh, N. B. "Conditional ValueatRiskBased Portfolio Optimization: An Ant Colony Optimization Approach" In Metaheuristic Approaches to Portfolio Optimization., pp. 82108, (2019).
[30] Faramarz Separi, Abdolreza Sheikholeslami, Taghi Barforoshi. " RiskBased Optimal DecisionMaking by the Retailer in A Mixed Local and Wholesale Market Environment Considering Demand Response Solution" Scientia Iranica., (2021).
[31] Hosseini, Seyyed Ebrahim, Mojtaba Najafi, and Ali Akhavein. "Improvement of RegionalMarket Management Considering Reserve, Information Gap Decision Theory and Emergency Demand Response Program" Scientia Iranica., (2021).
[32] Kavoosi Davoodi, S. M., et al. "An accurate analysis of the parameters affecting consumption and price fluctuations of electricity in the Iranian market in summer" Scientia Iranica., pp. 35383550, (2021).
[33] Azadi Hematabadi, Ahmad, and Asghar Akbari Foroud. "A New Solution Approach for Supply Function Equilibriumbased Bidding Strategy in Electricity Markets" Scientia Iranica 24.6 32313246, (2017).
[34] Ghoreishi, S. A., & Khaloozadeh, H. "Optimal Portfolio Allocation based on two Novel Risk Measures and Genetic Algorithm" International Journal of Business and Development Studies., 10(1), pp. 95113, (2018).
[35] Ray, J., Bhattacharyya, S., & Singh, N. B. "Conditional ValueatRiskBased Portfolio Optimization: An Ant Colony Optimization Approach" In Metaheuristic Approaches to Portfolio Optimization, IGI Global., pp. 82108, (2019).
[36] Rezaei, F., Najafi, A. A., & Ramezanian, R. "Meanconditional value at risk model for the stochastic project scheduling problem" Computers & Industrial Engineering., 142, p.106356, (2020).
[37] Nazemi, Ali, Siab Mamipour, and Salman Rahimi. "Forecasting the Electricity Price Emphasizing Prices Jumps by Using Combination of Neural and Fuzzy Network with Particle Swarm Optimization Algorithm." Advances in Industrial Engineering 52(2), pp277290 (2018).
[38] Raeiszadeh, Sayyed Ali, Mohammad Ali Dehghan Dehnavi, Mohammad Mahdi Bahrololoum, and Moslem Peymany Foroushany. "Portfolio Selection Optimization Problem Under Systemic Risks." Advances in Industrial Engineering 54(2), 121140 (2020).
