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Title:Modern Portfolio Theory Applied to Electricity Resource Planning
Author(s):Beltran, Hector A.
Advisor(s):Overbye, Thomas J.
Department / Program:Electrical and Computer Engineering
Discipline:Electrical and Computer Engineering
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:M.S.
Genre:Thesis
Subject(s):Modern portfolio theory
Electricity resource planning
Efficient frontier
Least-cost-variance methodology
Abstract:To meet electricity demand, electric utilities develop growth strategies for generation, transmission, and distributions systems. For a long time those strategies have been developed by applying least-cost methodology, in which the cheapest stand-alone resources are simply added, instead of analyzing complete portfolios. As a consequence, least-cost methodology is biased in favor of fossil fuel-based technologies, completely ignoring the benefits of adding non-fossil fuel technologies to generation portfolios, especially renewable energies. For this reason, this thesis introduces modern portfolio theory (MPT) to gain a more profound insight into a generation portfolio’s performance using generation cost and risk metrics. We discuss all necessary assumptions and modifications to this finance technique for its application within power systems planning, and we present a real case of analysis. Finally, the results of this thesis are summarized, pointing out the main benefits and the scope of this new tool in the context of electricity generation planning.
Issue Date:2009-06-01
URI:http://hdl.handle.net/2142/11970
Rights Information:Copyright Hector A. Beltran
Date Available in IDEALS:2009-06-01
Date Deposited:May 2009


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