A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios

DOI10.1007/978-3-642-12686-4_14zbMath1359.90081OpenAlexW2127837929MaRDI QIDQ2974429

David Wozabal, Ronald Hochreiter

Publication date: 7 April 2017

Published in: Handbook of Power Systems II (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-12686-4_14

zbMATH Keywords

stochastic programmingrisk managementelectricity portfolio managementmulti-stage decision optimizationreal option pricing

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic network models in operations research (90B15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches

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