Date of Award
5-2024
Degree Type
Masters Thesis
Degree Name
Master of Science (MS)
School
Mathematics and Natural Sciences
Committee Chair
Haiyan Tian
Committee Chair School
Mathematics and Natural Sciences
Committee Member 2
Huiqing Zhu
Committee Member 2 School
Mathematics and Natural Sciences
Committee Member 3
John Harris
Committee Member 3 School
Mathematics and Natural Sciences
Abstract
In this work, we study the use of modern portfolio theory in a cost-risk analysis of the Electric Reliability Council of Texas (ERCOT). Based upon the risk-return concepts of modern portfolio theory, we develop an n-asset minimization problem to create a risk-cost frontier of portfolios of technologies within the ERCOT electricity region. The levelized cost of electricity for each technology in the region is a step in evaluating the expected cost of the portfolio, and the historical data of cost factors estimate the variance of cost for each technology. In addition, there are several constraints in our minimization problem to account for real-world limitations. Using certain scenario data given by the National Renewable Energy Laboratory (NREL) and ERCOT, we analyze the efficient frontier of technology mixes for risk reduction of cost.
Copyright
2024, Megan Elizabeth Sickinger
Recommended Citation
Sickinger, Megan, "Cost-Risk Analysis of the ERCOT Region Using Modern Portfolio Theory" (2024). Master's Theses. 1023.
https://aquila.usm.edu/masters_theses/1023
Included in
Applied Mathematics Commons, Applied Statistics Commons, Operational Research Commons, Risk Analysis Commons, Statistical Models Commons