Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach (Q2029400): Difference between revisions

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

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scholarly article

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title

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

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European Journal of Operational Research

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publication date

3 June 2021

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zbMATH Keywords

mixed-integer optimization

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multistage stochastic optimization

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portfolio optimization

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irreversible investments

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policy risk

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2020.08.033

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cites work

Introduction to Stochastic Programming

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A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function

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Renewable energy investments under different support schemes: a real options approach

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Multi-stage stochastic linear programs for portfolio optimization

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Risk- and value-based management for non-life insurers under solvency constraints

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A mixed R{\&}D projects and securities portfolio selection model

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Investment Strategies under Transaction Costs: The Finite Horizon Case

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Nonlinear model predictive control. Theory and algorithms

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The value of rolling-horizon policies for risk-averse hydro-thermal planning

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Multi-horizon stochastic programming

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Genetic algorithms for portfolio selection problems with minimum transaction lots

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Portfolio optimization with linear and fixed transaction costs

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Twenty years of linear programming based portfolio optimization

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Heuristic algorithms for the portfolio selection problem with minimum transaction lots

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Mean-variance approximations to expected utility

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An Intertemporal Capital Asset Pricing Model

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Airline network revenue management by multistage stochastic programming

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Q5201292

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Q3893678

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Q2762572

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An equilibrium characterization of the term structure

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Estimation for diffusion processes from discrete observation

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Objective comparisons of the optimal portfolios corresponding to different utility functions

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Stochastic dual dynamic integer programming

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Identifiers

zbMATH Open document ID

1487.91116

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DOI

10.1016/j.ejor.2020.08.033

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2029400

@@ Property / cites work @@
+Introduction to Stochastic Programming
@@ Property / cites work: Introduction to Stochastic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
+Normal rank
@@ Property / cites work @@
+Renewable energy investments under different support schemes: a real options approach
+Normal rank
@@ Property / cites work @@
+Multi-stage stochastic linear programs for portfolio optimization
+Normal rank
@@ Property / cites work @@
+Risk- and value-based management for non-life insurers under solvency constraints
+Normal rank
@@ Property / cites work @@
+A mixed R{\&}D projects and securities portfolio selection model
+Normal rank
@@ Property / cites work @@
+Investment Strategies under Transaction Costs: The Finite Horizon Case
+Normal rank
@@ Property / cites work @@
+Nonlinear model predictive control. Theory and algorithms
+Normal rank
@@ Property / cites work @@
+The value of rolling-horizon policies for risk-averse hydro-thermal planning
+Normal rank
@@ Property / cites work @@
+Multi-horizon stochastic programming
@@ Property / cites work: Multi-horizon stochastic programming / rank @@
+Normal rank
@@ Property / cites work @@
+Genetic algorithms for portfolio selection problems with minimum transaction lots
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with linear and fixed transaction costs
+Normal rank
@@ Property / cites work @@
+Twenty years of linear programming based portfolio optimization
+Normal rank
@@ Property / cites work @@
+Heuristic algorithms for the portfolio selection problem with minimum transaction lots
+Normal rank
@@ Property / cites work @@
+Mean-variance approximations to expected utility
@@ Property / cites work: Mean-variance approximations to expected utility / rank @@
+Normal rank
@@ Property / cites work @@
+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
+Normal rank
@@ Property / cites work @@
+Airline network revenue management by multistage stochastic programming
+Normal rank
@@ Property / cites work @@
+Q5201292
@@ Property / cites work: Q5201292 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3893678
@@ Property / cites work: Q3893678 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2762572
@@ Property / cites work: Q2762572 / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Estimation for diffusion processes from discrete observation
+Normal rank
@@ Property / cites work @@
+Objective comparisons of the optimal portfolios corresponding to different utility functions
+Normal rank
@@ Property / cites work @@
+Stochastic dual dynamic integer programming
@@ Property / cites work: Stochastic dual dynamic integer programming / rank @@
+Normal rank