Xiaohe Yan, Yundong Yu, Nian Liu, et al. Multi-Service Storage Capacity Management by Cumulative Prospect Based Portfolio Theory[J]. CSEE Journal of Power and Energy Systems, 2026, 12(2): 680-687.
DOI:
Xiaohe Yan, Yundong Yu, Nian Liu, et al. Multi-Service Storage Capacity Management by Cumulative Prospect Based Portfolio Theory[J]. CSEE Journal of Power and Energy Systems, 2026, 12(2): 680-687. DOI: 10.17775/CSEEJPES.2022.01520.
Multi-Service Storage Capacity Management by Cumulative Prospect Based Portfolio Theory
Energy storage (ES) is vital in electricity markets and its operation is currently forced on single market service. However
ES could get more profits by participating in multiple market services. Thus
the potential of ES is undervalued
and ES cannot get sufficient incentives. In addition
the benefits and risks vary significantly over different markets
which causes severe challenges for ES to manage its capacity optimally over its daily cycle. Portfolio Theory
an optimal trading tool to maximise expected return while minimising corresponding risk
is introduced to quantify the ES capacity allocation over multiple markets. This paper models expected returns and risks of ES over the energy arbitrage market
enhanced frequency response market
and distribution network operator's (DNO's) market. Corresponding to risk over markets
risk aversion level of the storage is evaluated based on the Cumulative Prospect Theory
which is depicted as its indifference curve. The optimum portfolio is calculated by the intersection between the efficient frontier and indifference curve. Then
the ES operation strategy is designed via Robust Optimisation to ensure maximum profit under market price signals uncertainty. Results show the proposed method models risk aversion level of ES more accurately. It also provides an efficient capacity sharing model and daily operation model for ES participating in multiple market services to gain maximum economic return at minimum risk under uncertainty.
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references
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