Browsing by Author "Adıyeke, Esra"

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    Electricity spot price modelling and risk-return trade-off applications
    (Bahçeşehir Üniversitesi Fen Bilimleri Enstitüsü, 2014-06) Adıyeke, Esra; Çanakoğlu, Ethem
    After the liberalisation and restructuring of electricity markets, risk management has become an important objective for all the market participants. For effective risk management, modelling electricity prices has become an important issue. In this study electricity prices in the UK market has been modelled using different methodologies.Moreover, using CVaR as a risk measure, a portfolio problem for a distribution company has been defined. Different portfolio strategies for changing objectives are calculated and their performances are compared. And finally, managerial insight are provided throughout this study.