| مشخصات مقاله | |
| ترجمه عنوان مقاله | مدیریت پورتفولیو و بهبود عملکرد با نسبت های شارپ و ترینور در بازارهای برق |
| عنوان انگلیسی مقاله | Portfolio management and performance improvement with Sharpe and Treynor ratios in electricity markets |
| انتشار | مقاله سال 2022 |
| تعداد صفحات مقاله انگلیسی | 10صفحه |
| هزینه | دانلود مقاله انگلیسی رایگان میباشد. |
| پایگاه داده | نشریه الزویر |
| نوع نگارش مقاله |
مقاله پژوهشی (Research Article) |
| مقاله بیس | این مقاله بیس میباشد |
| نمایه (index) | Scopus – Master Journals List – JCR – DOAJ |
| نوع مقاله | ISI |
| فرمت مقاله انگلیسی | |
| ایمپکت فاکتور(IF) |
6.870 در سال 2020 |
| شاخص H_index | 33 در سال 2020 |
| شاخص SJR | 1.199 در سال 2020 |
| شناسه ISSN | 2352-4847 |
| شاخص Quartile (چارک) | Q1 در سال 2020 |
| فرضیه | ندارد |
| مدل مفهومی | ندارد |
| پرسشنامه | ندارد |
| متغیر | ندارد |
| رفرنس | دارد |
| رشته های مرتبط | مهندسی برق |
| گرایش های مرتبط | مهندسی الکترونیک، تولید، انتقال و توزیع |
| نوع ارائه مقاله |
ژورنال |
| مجله | گزارش های انرژی – Energy Reports |
| دانشگاه | Maintenance Management Department, Çankaya, Ankara, Turkey |
| کلمات کلیدی | بازار برق، بهینه سازی پورتفولیو، مدیریت ریسک، نسبت شارپ، نسبت ترینور، اندازه گیری عملکرد |
| کلمات کلیدی انگلیسی | Electricity market – Portfolio optimization – Risk management – Sharpe Ratio – Treynor Ratio – Performance measurement |
| شناسه دیجیتال – doi |
https://doi.org/10.1016/j.egyr.2021.11.287 |
| کد محصول | E15886 |
| وضعیت ترجمه مقاله | ترجمه آماده این مقاله موجود نمیباشد. میتوانید از طریق دکمه پایین سفارش دهید. |
| دانلود رایگان مقاله | دانلود رایگان مقاله انگلیسی |
| سفارش ترجمه این مقاله | سفارش ترجمه این مقاله |
| فهرست مطالب مقاله: |
| Abstract Keywords Introduction Portfolio optimization theory Electricity in Turkey and electricity market structure Data and methodology Results Conclusion CRediT authorship contribution statement Declaration of Competing Interest References |
| بخشی از متن مقاله: |
| Abstract After 1980s, liberalization in energy industry accelerated. At that times, private sector started to show more tendency to electricity thanks to regulations and policies made by governments so electricity markets emerged and spread very rapidly, which created market risk that needs to be managed carefully along. Decision makers in electricity generation industry had to be faced this market risks besides other operational risks. They had to review policies regarding to risk management and they noticed that determining the right bidding strategy for electricity market and bilateral contract market was crucial. In this paper, Mean–variance, Semi-variance, and Down-side risk methods, which are common in portfolio optimization of financial literature are used to manage risk and to optimize electricity market bidding strategies and decision policy for an electricity generation company. Apart from the other limited studies, performances of optimal portfolio solutions are measured and further more improved with the help of Sharpe and Treynor ratios for electricity market. It is seen that direct use of portfolio management tools in electricity markets can cause sub-optimal solutions, so risk aversion constant of utility functions should be adapted. This study shows that optimal bidding strategies for electricity generators can be improved with the help of Sharpe and Treynor ratios. In order to demonstrate the results, two consecutive years of Turkish Day-ahead Market data are used in an empirical case study. Introduction World primary energy need is estimated to continue increasing. According to the new policies scenario of World Energy Outlook 2015, global energy demand will increase 32% between 2015 and 2040, and 67 trillion dollars should be allocated to meet this demand (International Energy Agency, 2015). On the other hand, after Covid-19 pandemic, future projections have been changed drastically for the next five years but increase in demand will continue anyway (International Energy Agency, 2020). According to the stated policies scenario of latest published World Energy Outlook (WEO) 2020, energy demand is expected to rise by 0.9% each year to 2030 (International Energy Agency, 2020). |