Regensburg 2016 – scientific programme

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 19: Financial Markets and Risk Management II

SOE 19.1: Talk

Wednesday, March 9, 2016, 16:45–17:00, H36

Optimal energy-mix and portfoliomanagement on the basis of German electricity data — •Magda Schiegl — University of Applied Sciences Landshut

The 2013 German electricity data, namely the load and the production of fluctuating renewable sources of energy (RE), are analysed. The data of the renewable sources consist of on- and off-shore wind and photo-voltaic energy production. We analyse the statistical properties, including the tail behaviour of the distribution functions. It is well known that a remarkable amount of back-up energy is needed to bridge the RE-induced low-power periods * see for instance (1). The magnitude of the back-up capacity is dependent on the RE-energy-mix. We derive a statistical model that allows the analytical calculation of the optimal energy-mix for a minimum back-up energy. Our model is closely related to the Markowitz-model used in portfoliomanagement. We explain why this model delivers very good approximations for the RE-energy-mix problem. Within this framework we analyse the impact of energy storage on the optimal energy-mix and the back-up energy. We further discuss the dependence on different storage properties as for instance magnitude and efficiency.

(1) F. Wagner, Electricity by intermittent sources: An analysis based on the German situation 2012, Eur. Phys. J. Plus (2014), 129: 20