Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/330810 
Erscheinungsjahr: 
2024
Quellenangabe: 
[Journal:] Decisions in Economics and Finance [ISSN:] 1129-6569 [Volume:] 48 [Issue:] 1 [Publisher:] Springer International Publishing [Place:] Cham [Year:] 2024 [Pages:] 269-299
Verlag: 
Springer International Publishing, Cham
Zusammenfassung: 
In this study, we provide a simple one period mean-field-games setting for the joint optimal trading problem for electricity producers in the electricity markets. Based on the Markowitz mean-variance approach from stock trading, we consider a decision problem of an electricity provider when determining the optimal fractions of production that should be traded in the day-ahead and in the intraday markets. Moreover, all such providers are related by a ranking criterion and each one wants to perform as good as possible in this ranking. We first start with a simple model where only the price risk in the intraday market is present and subsequently extend the problem to the cases involving either production and/or demand uncertainty. The key technique is to reduce the optimality conditions to a first order non-linear ordinary differential equation. We will illustrate our findings by various numerical examples. Our findings will in particular be important for electricity producers using renewable resources.
Schlagwörter: 
Mean-field games
Optimal trading
Electricity markets
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Dokumentversion: 
Published Version

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.