Risk management of power portfolios and valuation of flexibility
From MaRDI portal
Publication:850662
DOI10.1007/s00291-005-0005-4zbMath1122.91039OpenAlexW2032173204MaRDI QIDQ850662
Hans-Jakob Lüthi, Jorg Doege, Philippe Schiltknecht
Publication date: 3 November 2006
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11850/2573
Related Items
Stepwise investment and capacity sizing under uncertainty, Conditional value‐at‐risk beyond finance: a survey, Approximation algorithms for optimal purchase/inventory policy when purchase price and demand are stochastic, Balancing risk: generation expansion planning under climate mitigation scenarios, Valuation of energy storage: an optimal switching approach, Valuation of power plants, Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches, Valuation of electricity swing options by multistage stochastic programming, Risk management in power markets: the hedging value of production flexibility, Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
Cites Work
- Unnamed Item
- Unnamed Item
- Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach
- Shortfall as a risk measure: properties, optimization and applications
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Convex measures of risk and trading constraints
- Optimizing a portfolio of power-producing plants
- Convex risk measures for portfolio optimization and concepts of flexibility
- Coherent Measures of Risk
- Valuation of Commodity-Based Swing Options
- Exotic Options for Interruptible Electricity Supply Contracts
- Pricing electricity risk by interest rate methods