Found 20 Documents (Results 1–20)
Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity. (English) Zbl 1430.90448
Robustifying convex risk measures for linear portfolios: a nonparametric approach. (English) Zbl 1358.91116
Optimizing trading decisions for hydro storage systems using approximate dual dynamic programming. (English) Zbl 1291.90125
A multi-stage stochastic programming model for managing risk-optimal electricity portfolios. (English) Zbl 1359.90081
Rebennack, Steffen (ed.) et al., Handbook of power systems. II. Dordrecht: Springer (ISBN 978-3-642-12685-7/hbk; 978-3-642-26459-7/pbk; 978-3-642-12686-4/ebook). Energy Systems, 383-404 (2010).
Evolutionary estimation of a coupled Markov chain credit risk model. (English) Zbl 1198.91236
Brabazon, Anthony (ed.) et al., Natural computing in computational finance. Vol. 3. Some papers based on the presentations at the presentation 3rd European workshop on evolutionary computation in finance and economics (EvoFIN 2009), Tübingen, Germany, April 15–17, 2009. Berlin: Springer (ISBN 978-3-642-13949-9/hbk; 978-3-642-13950-5/ebook). Studies in Computational Intelligence 293, 31-44 (2010).
A difference of convex formulation of value-at-risk constrained optimization. (English) Zbl 1196.90088
Ambiguity in portfolio selection. (English) Zbl 1180.91272
Dempster, M. A. H. (ed.) et al., Quantitative fund management. Boca Raton, FL: CRC Press (ISBN 978-1-4200-8191-6/hbk). Chapman & Hall/CRC Financial Mathematics Series, 377-391 (2009).
MSC:
91G10
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. (English) Zbl 1223.90084
Ceragioli, F. (ed.) et al., System modeling and optimization. Proceedings of the 22nd IFIP TC7 conference, July 18–22, 2005, Turin, Italy. New York, NY: Springer (ISBN 0-387-32774-6/hbk). IFIP, International Federation for Information Processing 199, 219-226 (2006).
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