Fuzzy-based renewable energy portfolio optimization : an asset allocation approach | |
| Author | Unni, Arjun C. |
| Call Number | AIT Diss. no.ET-20-04 |
| Subject(s) | Renewable energy sources Fuzzy mathematics Portfolio management |
| Note | A dissertation submitted in partial fulfillment of the requirements for the degree of Doctor of Engineering in Energy, School of Environment, Resources and Development |
| Publisher | Asian Institute of Technology |
| Abstract | Optimizing energy generation mix can be considered as an asset allocation problem since each different energy sources behaves as different assets with different risk and reward characteristics. Reward is the profit made in an investment and the uncertainties having potential for financial losses can be considered as risk. Renewable energy sources involve high risk since they depend on factors like solar radiation and wind which in turn are highly unpredictable. Since the terms reward and risk are not that apparent in the energy spectrum, an attempt is made to propose a new index, using fuzzy logic, which combines the economic parameters as well as the power production parameters. Optimizing the generation mix involves minimizing the risk and maximizing reward. It is not possible to find out a single solution for this problem since this is a multi-objective optimization problem and the optimum point depends on the risk aversion capability of an investor. The optimum generation mix of wind, solar, hydro and biomass energy is found out by using Markovitz mean-variance Theory, Conditional Value at Risk (CVaR) and Black-Litterman model. Monte Carlo simulation is used to make the model more robust. The results give significant contribution to the strategy adopted by an investor in energy generation planning. |
| Year | 2020 |
| Type | Dissertation |
| School | School of Environment, Resources, and Development (SERD) |
| Department | Department of Energy and Climate Change (Former title: Department of Energy, Environment, and Climate Change (DEECC)) |
| Academic Program/FoS | Energy Technology (ET) |
| Chairperson(s) | Weerakorn Ongsakul |
| Examination Committee(s) | Dhakal, Shobhakar;Surachet Pravinvongvuth |
| Scholarship Donor(s) | Asian Institute of Technology Fellowship |
| Degree | Thesis (Ph.D.) - Asian Institute of Technology, 2020 |