Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets

DOI10.1007/978-3-319-42902-1_85MaRDI QIDQ4596258zbMATHOpenAlexFDO

Authors Simone Farinelli, Luisa Tibiletti

Publication date 1 December 2017

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-42902-1_85

Mathematics Subject Classification ID

Case-oriented studies in operations research (90B90) Stochastic programming (90C15)

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Cited in

(2)

• Optimizing trading decisions for hydro storage systems using approximate dual dynamic programming
• Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming

Describes a project that uses

Uses Software

• Mathematica

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