Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach

DOI10.1016/j.ejor.2020.08.033zbMath1487.91116OpenAlexW3009434534MaRDI QIDQ2029400

Alexander Martin, Nikolai Vogl, Benjamin Seith, Martin Schmidt, Nadine Gatzert

Publication date: 3 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.08.033

zbMATH Keywords

portfolio optimizationmixed-integer optimizationirreversible investmentsmultistage stochastic optimizationpolicy risk

Mathematics Subject Classification ID

Mixed integer programming (90C11) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (1)

A review of the operations literature on real options in energy

Cites Work

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