In principle, portfolio optimization in electricity markets can make use of the standard mean-variance model going back … to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model …

demonstrate an application of the proposed framework and results to the German electricity market which has not yet been treated …Optimal capacity allocation for investments in electricity generation assets can be deterministically derived by … comparing technology specific long-term and short-term marginal costs. In an uncertain market environment, Mean …