Risk aversion
This document provides the data for the case studies of the work “Computational Performance Enhancement Strategies for Risk-Averse Two-Stage Stochastic Generation and Transmission Network Expansion Planning”.
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Agents in the electricity sector may find themselves in a short position in the market at times. In this case, they have the option of hedging their risk by contracting part or all of their position through fixed-price forward contracts. If the hedge is only partial, the non-contracted portion must be settled at an uncertain future spot price, which exposes the agent to price risk. On the other hand, while a full hedge eliminates the risk, it eliminates potential gains.
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