Stochastic programming models for replication of electricity forward contracts for industry

DOI10.1002/nav.20185zbMath1106.90385OpenAlexW1967496564MaRDI QIDQ3423294

Sheena Yau, J. Scott Rogers, Roy H. Kwon

Publication date: 20 February 2007

Published in: Naval Research Logistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/nav.20185

zbMATH Keywords

stochastic programmingportfolio replicationelectricity contracts

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Case-oriented studies in operations research (90B90)

Cites Work

• Hedging quantity risks with standard power options in a competitive wholesale electricity market
• Introduction to Stochastic Programming

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