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Agent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumers

2022-05Journal article Open access
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dc.contributor.authorAlgarvio, Hugo
dc.contributor.authorLopes, Fernando
dc.date.accessioned2022-01-17T17:24:37Z
dc.date.available2022-01-17T17:24:37Z
dc.date.issued2022-05
dc.description.abstractABSTRACT: 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.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationAlgarvio, 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 107687pt_PT
dc.identifier.doi10.1016/j.ijepes.2021.107687pt_PT
dc.identifier.issn0142-0615
dc.identifier.urihttp://hdl.handle.net/10400.9/3701
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relation.publisherversionhttps://doi.org/10.1016/j.ijepes.2021.107687pt_PT
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt_PT
dc.subjectElectricity marketspt_PT
dc.subjectMulti-agent systemspt_PT
dc.subjectTrading strategiespt_PT
dc.subjectAgent-based modelingpt_PT
dc.subjectMATREM systempt_PT
dc.titleAgent-based retail competition and portfolio optimization in liberalized electricity markets: A study involving real-world consumerspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.titleInternational Journal of Electrical Power and Energy Systemspt_PT
oaire.citation.volume137pt_PT
person.familyNameLopes
person.givenNameFernando
person.identifier.ciencia-idB01D-304F-6CD3
person.identifier.orcid0000-0002-4129-838X
person.identifier.orcid0000-0002-2967-627X
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication63bffd90-c233-4ffe-b222-d5b12e31ae33
relation.isAuthorOfPublicationa1153343-c1b9-406e-a83a-30dbee18d6a3
relation.isAuthorOfPublication.latestForDiscoverya1153343-c1b9-406e-a83a-30dbee18d6a3

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