Portfolio Method of Demand Response Resource Based on Mean-variance Theory

With the deep application of demand response in the power market, load aggregators, as a new participant, play an important role in electric market recruiting demand response resources and participating in demand management. However, research on risk management portfolio methods of load aggregators has not been studied fully. In this paper, a portfolio method of demand response resource based on mean-variance theory is proposed to assist load aggregators to generate the minimum risk portfolio for a certain expected return. The case study shows that the proposed method can be used to reduce the investment risk compared with the base-line method.