Efficient Frontiers for Short-term Sales of Spot and Forward Wind Energy in Texas
利用德克萨斯州ERCOT 2011-2021年月度数据，构建现货与远期风电销售的有效前沿，揭示风险规避的风电场开发商在短期购电协议下的收入预测与风险关系。
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 ten 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 one hundred percent (<100%) of the windfarm’s energy output at forward energy prices that are above (below) spot energy price forecasts by TOD for recovering wind generation’s levelized cost of energy.