Next Article in Journal
Thermo-Economic Analysis of a Bottoming Kalina Cycle for Internal Combustion Engine Exhaust Heat Recovery
Next Article in Special Issue
A Graph Theoretic Approach to Optimal Firefighting in Oil Terminals
Previous Article in Journal
Method for Switching between Traction and Brake Control for Speed Profile Optimization in Mountainous Situations
Previous Article in Special Issue
Optimal Energy Management of Building Microgrid Networks in Islanded Mode Considering Adjustable Power and Component Outages
Article Menu

Export Article

Open AccessArticle
Energies 2018, 11(11), 3043; https://doi.org/10.3390/en11113043

Fuzzy Portfolio Optimization of Power Generation Assets

Institute for Future Energy Consumer Needs and Behavior (FCN), School of Business and Economics/E.ON Energy Research Center, RWTH Aachen University, Mathieustrasse 10, 52074 Aachen, Germany
*
Author to whom correspondence should be addressed.
Received: 14 October 2018 / Revised: 28 October 2018 / Accepted: 2 November 2018 / Published: 6 November 2018
(This article belongs to the Special Issue Optimisation Models and Methods in Energy Systems)
Full-Text   |   PDF [607 KB, uploaded 6 November 2018]   |  

Abstract

Fuzzy theory is proposed as an alternative to the probabilistic approach for assessing portfolios of power plants, in order to capture the complex reality of decision-making processes. This paper presents different fuzzy portfolio selection models, where the rate of returns as well as the investor’s aspiration levels of portfolio return and risk are regarded as fuzzy variables. Furthermore, portfolio risk is defined as a downside risk, which is why a semi-mean-absolute deviation portfolio selection model is introduced. Finally, as an illustration, the models presented are applied to a selection of power generation mixes. The efficient portfolio results show that the fuzzy portfolio selection models with different definitions of membership functions as well as the semi-mean-absolute deviation model perform better than the standard mean-variance approach. Moreover, introducing membership functions for the description of investors’ aspiration levels for the expected return and risk shows how the knowledge of experts, and investors’ subjective opinions, can be better integrated in the decision-making process than with probabilistic approaches. View Full-Text
Keywords: portfolio analysis; semi-mean-absolute deviation model; fuzzy set theory; optimal power generation mix portfolio analysis; semi-mean-absolute deviation model; fuzzy set theory; optimal power generation mix
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Glensk, B.; Madlener, R. Fuzzy Portfolio Optimization of Power Generation Assets. Energies 2018, 11, 3043.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Energies EISSN 1996-1073 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top