Electricity purchasing and selling risk decision for power supplier under real-time pricing

Implementing demand side real-time pricing (RTP) effectively transfers the wholesale market price risk from power supplier to its customers. However, RTP hedging contracts create new challenges to electricity purchasing and selling of risk management for power supplier. The cost of electricity purchasing, the revenue of electricity selling and transaction risk are analyzed comprehensively. Day-ahead market and normal/block bilateral contracts are considered in electricity purchasing transaction, while basic RTP contract and various types of RTP hedge contracts are considered in electricity selling transaction. Furthermore, based on CVaR methodology, a decision model whose object is maximizing power supplier's utilities of electricity purchasing and selling is introduced. Optimal purchasing portfolios for different risk-preference power suppliers can be obtained by solving the model. Numerical results are finally used to prove the effectiveness of the proposed model, which is beneficial to power suppliers in coordinating the profits and risk of electricity transactions under RTP.