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Efficient frontiers for short-term sales of spot and forward wind energy in Texas

Author

Listed:
  • K. H. Cao
  • H. Qi

    (Audencia Business School)

  • C. K. Woo
  • J. Zarnikau
  • R. Li

Abstract

Texas's windfarm construction continues unabated, despite wind energy's cannibalization effect on wind generation's investment incentive and the rising popularity of short-term wind power purchase agreements (PPAs). Using ERCOT's monthly data for Jan-2011 to Dec-2021, we develop spot energy price forecasts by time of day (TOD) and their standard deviations to derive the efficient frontiers (EFs) for spot and forward energy sales of a risk-averse windfarm developer under a short-term wind PPA of not more than 10 years. These EFs reveal a windfarm's operating revenue forecast tends to increase with the PPA's forward energy prices. Further, the windfarm's revenue risk and forecast move in tandem, akin to the risk-return relationship rooted in Markowitz's portfolio theory. Hence, the developer tends to sell 100% (

Suggested Citation

  • K. H. Cao & H. Qi & C. K. Woo & J. Zarnikau & R. Li, 2024. "Efficient frontiers for short-term sales of spot and forward wind energy in Texas," Post-Print hal-04761181, HAL.
    • Handle: RePEc:hal:journl:hal-04761181
    DOI: https://doi.org/10.1177/01956574241287500
    Note: View the original document on HAL open archive server: https://hal.science/hal-04761181v1
    as

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