David Wozabal

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
The Value of Coordination in Multimarket Bidding of Grid Energy Storage Operations Research	2024-02-26	Paper
Intraday power trading: toward an arms race in weather forecasting? OR Spectrum	2023-06-26	Paper
A stability result for linear Markovian stochastic optimization problems Mathematical Programming. Series A. Series B	2022-03-22	Paper
Envelope theorems for multistage linear stochastic optimization Operations Research	2022-02-16	Paper
Renewable auctions: bidding for real options European Journal of Operational Research	2021-06-07	Paper
Gas storage valuation in incomplete markets European Journal of Operational Research	2021-06-03	Paper
Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity European Journal of Operational Research	2019-09-18	Paper
The effect of intermittent renewables on the electricity price variance OR Spectrum	2017-08-07	Paper
A multi-stage stochastic programming model for managing risk-optimal electricity portfolios Handbook of Power Systems II	2017-04-07	Paper
Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach Operations Research	2015-08-28	Paper
Optimizing trading decisions for hydro storage systems using approximate dual dynamic programming Operations Research	2014-06-26	Paper
A framework for optimization under ambiguity Annals of Operations Research	2013-01-15	Paper
Value-at-risk optimization using the difference of convex algorithm OR Spectrum	2013-01-10	Paper
A coupled Markov chain approach to credit risk modeling Journal of Economic Dynamics and Control	2012-07-05	Paper
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets IFIP International Federation for Information Processing	2011-06-01	Paper
Evolutionary estimation of a coupled Markov chain credit risk model Natural Computing in Computational Finance	2010-11-08	Paper
A difference of convex formulation of value-at-risk constrained optimization Optimization	2010-07-26	Paper
Asymptotic consistency of risk functionals Journal of Nonparametric Statistics	2009-11-27	Paper
scientific article; zbMATH DE number 5589693 (Why is no real title available?)	2009-08-03	Paper
Ambiguity in portfolio selection Quantitative Finance	2007-10-22	Paper

Research outcomes over time

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