Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
From MaRDI portal
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)
Related Items (17)
A multi-period fuzzy portfolio optimization model with minimum transaction lots ⋮ Disjoint Bilinear Optimization: A Two-Stage Robust Optimization Perspective ⋮ ROC++: Robust Optimization in C++ ⋮ Electricity retail contracting under risk-aversion ⋮ Stochastic Nash equilibrium problems: sample average approximation and applications ⋮ Dynamic portfolio choice: a simulation-and-regression approach ⋮ A multistage stochastic programming framework for cardinality constrained portfolio optimization ⋮ International portfolio management with affine policies ⋮ Energy storage operation and electricity market design: on the market power of monopolistic storage operators ⋮ Generalized decision rule approximations for stochastic programming via liftings ⋮ Constant depth decision rules for multistage optimization under uncertainty ⋮ Climate-aware generation and transmission expansion planning: a three-stage robust optimization approach ⋮ A stochastic program with time series and affine decision rules for the reservoir management problem ⋮ The natural hedge of a gas-fired power plant ⋮ Robust optimization of uncertain multistage inventory systems with inexact data in decision rules ⋮ Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches ⋮ Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A polynomial-time solution scheme for quadratic stochastic programs
- Generalized decision rule approximations for stochastic programming via liftings
- Primal and dual linear decision rules in stochastic and robust optimization
- Efficient robust optimization for robust control with constraints
- No-arbitrage conditions, scenario trees, and multi-asset financial optimization
- Multi-period portfolio optimization with linear control policies
- Scenario tree modeling for multistage stochastic programs
- Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
- Discretized reality and spurious profits in stochastic programming models for asset/liability management
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Inference of statistical bounds for multistage stochastic programming problems
- Adjustable robust solutions of uncertain linear programs
- Scenario reduction algorithms in stochastic programming
- Aggregation and discretization in multistage stochastic programming
- Computational complexity of stochastic programming problems
- On complexity of multistage stochastic programs
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
- Multi-Stage Stochastic Electricity Portfolio Optimization in Liberalized Energy Markets
- A Stochastic Programming Approach to Power Portfolio Optimization
- Two-Stage Robust Network Flow and Design Under Demand Uncertainty
- A Linear Decision-Based Approximation Approach to Stochastic Programming
- An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
- Lectures on Stochastic Programming
- Introduction to Stochastic Programming
- Applications of Stochastic Programming
- Epi-Convergent Discretizations of Multistage Stochastic Programs
- The Scenario Generation Algorithm for Multistage Stochastic Linear Programming
- Arbitrage Theory in Continuous Time
- Scenarios for multistage stochastic programs
This page was built for publication: Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules