Designing electricity generation portfolios using the mean-variance approach

Jorge Cunha & Paula Varandas Ferreira
The use of the mean-variance approach (MVA) is well demonstrated in the financial literature for the optimal design of financial assets portfolios. The electricity sector portfolios are also guided by similar objectives, namely maximizing return and minimizing risk. As such, this paper proposes two possible MVA for the design of optimal renewable electricity production portfolios. The first approach is directed to portfolio output maximization and the second one is directed to portfolio cost optimization. The...
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