Multi-Stage Stochastic Electricity Portfolio Optimization in Liberalized Energy Markets

DOI10.1007/0-387-33006-2_20zbMath1223.90084OpenAlexW1601076586WikidataQ59255076 ScholiaQ59255076MaRDI QIDQ3004461

David Wozabal, Ronald Hochreiter, Georg Ch. Pflug

Publication date: 1 June 2011

Published in: IFIP International Federation for Information Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/0-387-33006-2_20

zbMATH Keywords

stochastic optimizationaverage value-at-riskscenario generationenergy marketsoptimal electricity portfolios

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (4)

Comparing stage-scenario with nodal formulation for multistage stochastic problems ⋮ Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules ⋮ A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios ⋮ Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management

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