Optimal electricity generation portfolios. The impact of price spread modelling

DOI10.1007/S10287-012-0150-6zbMath1273.91460OpenAlexW32172252MaRDI QIDQ373214

Daniel Ziegler, Katrin Schmitz, Christoph Weber

Publication date: 21 October 2013

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-012-0150-6

zbMATH Keywords

decision makingstochastic processesportfolio theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Dynamic behavior of CO\(_2\) spot prices
• Modeling power forward prices for power with spikes: a non-Markovian approach
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Uncertainty in the electric power industry. Methods and models for decision support
• Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

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