Optimization of real asset portfolio using a coherent risk measure: Application to oil and energy industries

DOI10.1007/S11081-010-9127-XMaRDI QIDQ535718zbMATH OpenOpenAlexFDO

Authors Yong-Cai Geng, Sumit K. Garg

Publication date 13 May 2011

Published in Optimization and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11081-010-9127-x

zbMATH Keywords

CVaRdecomposition methodsportfolio optimizationreal assets

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

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• Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
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Cites work

• Coherent measures of risk
• Inexact Cuts in Benders Decomposition
• Introduction to Stochastic Programming

Cited in

(4)

• Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
• A modern two-stage stochastic programming portfolio model for an oil refinery with financial risk management
• Conditional value‐at‐risk beyond finance: a survey
• Divide to conquer: decomposition methods for energy optimization

Describes a project that uses

Uses Software

• SQPlab
• PLCP

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