Managing electricity market price risk

Iivo Vehviläinen, Jussi Keppo

Research output: Contribution to journalArticleScientificpeer-review


This paper introduces an application of financial risk management methods to the deregulated electricity markets. A framework for the Monte Carlo performance simulation of a power portfolio is presented. The optimal portfolio selection problem is addressed and a numerical method is implemented. Numerical results of simulation and optimization are presented in the Nordic electricity market. The results suggest that the risk management methods of the paper can be applied to the everyday electricity market practice.
Original languageEnglish
Pages (from-to)136-147
JournalEuropean Journal of Operational Research
Issue number1
Publication statusPublished - 2003
MoE publication typeA1 Journal article-refereed


  • Energy
  • Risk analysis
  • Stochastic processes
  • Simulation
  • Portfolio optimization


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