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_85zbMATH Open1375.90186OpenAlexW1933859348MaRDI QIDQ4596258FDOQ4596258

Luisa Tibiletti, Simone Farinelli

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

Recommendations

• Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
• scientific article; zbMATH DE number 1984255
• Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
• Stochastic optimization of trading strategies in sequential electricity markets
• A multi-stage stochastic programming model for managing risk-optimal electricity portfolios
• Multi-stage stochastic electricity portfolio optimization in liberalized energy markets
• Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
• Optimizing trading decisions for hydro storage systems using approximate dual dynamic programming
• A Stochastic Programming Approach to Power Portfolio Optimization
• Mean-risk optimization of electricity portfolios

Mathematics Subject Classification ID

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

Cited In (1)

• Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming

Uses Software

• Mathematica

This page was built for publication: Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4596258)