scientific article; zbMATH DE number 1984255

MaRDI QIDQ4428688zbMATH OpenFDO

Authors Stein-Erik Fleten, Stein W. Wallace, William T. Ziemba

Publication date 22 September 2003

zbMATH Keywords

deregulated marketsportfolio models scenario generationrisk managementstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cited in

(26)

• Portfolio optimization of financial commodities with energy futures
• Robust strategies for natural gas procurement
• Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
• A two-stage stochastic programming model for electric energy producers
• Hydroelectric reservoir optimization in a pool market
• Stochastic programming: potential hazards when random variables reflect market interaction
• A multi-stage stochastic programming model for managing risk-optimal electricity portfolios
• Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
• Multi-stage stochastic electricity portfolio optimization in liberalized energy markets
• A Stochastic Programming Approach to Power Portfolio Optimization
• Stochastic programming models for replication of electricity forward contracts for industry
• Financial risk management in the electric power industry using stochastic optimization
• Delta-Hedging a Hydropower Plant Using Stochastic Programming
• Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
• Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets
• Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
• Structuring bilateral energy contract portfolios in competitive markets
• Tactical portfolio planning in the natural gas supply chain
• NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
• Integrating multi-stage stochastic programming and machine learning for the evaluation of policies in the electricity portfolio problem
• Dynamic hedging for the real option management of hydropower production with exchange rate risks
• Short-term electricity procurement: a rolling horizon stochastic programming approach
• Risk management of power portfolios and valuation of flexibility
• Risk-averse profit-based optimal scheduling of a hydro-chain in the day-ahead electricity market
• A survey of stochastic modelling approaches for liberalised electricity markets
• Decision making under uncertainty in electricity markets

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