We develop a metric to quantify the sub-hourly variability cost of individual wind plants and show its use in valuing reductions in wind power variability. Our method partitions wind energy into hourly and sub-hourly components and uses corresponding market prices to determine variability costs....

Abstract We deal with the problem of the practical use of Haezendonck risk measures (see Haezendonck and Goovaerts [8], Goovaerts et al. [7], Bellini and Rosazza Gianin [4]) in portfolio optimization. We first analyze the properties of the natural estimators of Haezendonck risk measures by means...