Polyhedral risk measures in electricity portfolio optimization

DOI10.1002/pamm.200410002zbMath1354.91172OpenAlexW2002532738MaRDI QIDQ2954559

Andreas Eichhorn, Isabel Wegner, Werner Römisch

Publication date: 24 January 2017

Published in: PAMM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/pamm.200410002

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items

Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?, Robust production management, Stability of multistage stochastic programs incorporating polyhedral risk measures, Mean-risk optimization of electricity portfolios, Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization, Risk-averse feasible policies for large-scale multistage stochastic linear programs, The value of rolling-horizon policies for risk-averse hydro-thermal planning, Recent Progress in Two-stage Mixed-integer Stochastic Programming with Applications to Power Production Planning, A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios, Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management, Scenario Tree Generation for Multi-stage Stochastic Programs, Medium-term planning for thermal electricity production, Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio, Robust mid-term power generation management, Scenario tree modeling for multistage stochastic programs, Valuation and pricing of electricity delivery contracts: the producer's view, Quasi-Monte Carlo methods for linear two-stage stochastic programming problems

Cites Work

• Coherent multiperiod risk adjusted values and Bellman's principle
• Coherent Measures of Risk
• Mean-risk optimization of electricity portfolios
• Polyhedral Risk Measures in Stochastic Programming
• Stochastic finance. An introduction in discrete time