Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
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Publication:421766
DOI10.1016/j.ejor.2011.08.001zbMath1237.91103OpenAlexW2124325500MaRDI QIDQ421766
Publication date: 14 May 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2011.08.001
stochastic programmingrisk managementOR in energyelectricity portfolio managementlinear decision rules
Stochastic programming (90C15) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)
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