Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David |
|
2007
|
A framework for optimization under ambiguity. Zbl 1255.91454
Wozabal, David |
|
2012
|
Optimizing trading decisions for hydro storage systems using approximate dual dynamic programming. Zbl 1291.90125
Löhndorf, Nils; Wozabal, David; Minner, Stefan |
|
2013
|
Robustifying convex risk measures for linear portfolios: a nonparametric approach. Zbl 1358.91116
Wozabal, David |
|
2014
|
A difference of convex formulation of value-at-risk constrained optimization. Zbl 1196.90088
Wozabal, David; Hochreiter, Ronald; Pflug, Georg Ch. |
|
2010
|
Value-at-risk optimization using the difference of convex algorithm. Zbl 1282.91313
Wozabal, David |
|
2012
|
Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity. Zbl 1430.90448
Wozabal, David; Rameseder, Gunther |
|
2020
|
A coupled Markov chain approach to credit risk modeling. Zbl 1243.91101
Wozabal, David; Hochreiter, Ronald |
|
2012
|
Gas storage valuation in incomplete markets. Zbl 1487.90501
Löhndorf, Nils; Wozabal, David |
|
2021
|
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. Zbl 1223.90084
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D. |
|
2006
|
The effect of intermittent renewables on the electricity price variance. Zbl 1369.91149
Wozabal, David; Graf, Christoph; Hirschmann, David |
|
2016
|
Asymptotic consistency of risk functionals. Zbl 1175.62113
Wozabal, David; Wozabal, Nancy |
|
2009
|
Envelope theorems for multistage linear stochastic optimization. Zbl 1485.90075
Terça, Gonçalo; Wozabal, David |
|
2021
|
Quantitative solutions for future energy systems and markets. Zbl 1368.00056
|
|
2016
|
A multi-stage stochastic programming model for managing risk-optimal electricity portfolios. Zbl 1359.90081
Hochreiter, Ronald; Wozabal, David |
|
2010
|
The value of coordination in multimarket bidding of grid energy storage. Zbl 1534.91085
Löhndorf, Nils; Wozabal, David |
|
2023
|
Renewable auctions: bidding for real options. Zbl 1487.91048
Matthäus, David; Schwenen, Sebastian; Wozabal, David |
|
2021
|
Ambiguity in portfolio selection. Zbl 1180.91272
Pflug, Georg; Wozabal, David |
|
2009
|
The value of coordination in multimarket bidding of grid energy storage. Zbl 1534.91085
Löhndorf, Nils; Wozabal, David |
|
2023
|
Gas storage valuation in incomplete markets. Zbl 1487.90501
Löhndorf, Nils; Wozabal, David |
|
2021
|
Envelope theorems for multistage linear stochastic optimization. Zbl 1485.90075
Terça, Gonçalo; Wozabal, David |
|
2021
|
Renewable auctions: bidding for real options. Zbl 1487.91048
Matthäus, David; Schwenen, Sebastian; Wozabal, David |
|
2021
|
Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity. Zbl 1430.90448
Wozabal, David; Rameseder, Gunther |
|
2020
|
The effect of intermittent renewables on the electricity price variance. Zbl 1369.91149
Wozabal, David; Graf, Christoph; Hirschmann, David |
|
2016
|
Quantitative solutions for future energy systems and markets. Zbl 1368.00056
|
|
2016
|
Robustifying convex risk measures for linear portfolios: a nonparametric approach. Zbl 1358.91116
Wozabal, David |
|
2014
|
Optimizing trading decisions for hydro storage systems using approximate dual dynamic programming. Zbl 1291.90125
Löhndorf, Nils; Wozabal, David; Minner, Stefan |
|
2013
|
A framework for optimization under ambiguity. Zbl 1255.91454
Wozabal, David |
|
2012
|
Value-at-risk optimization using the difference of convex algorithm. Zbl 1282.91313
Wozabal, David |
|
2012
|
A coupled Markov chain approach to credit risk modeling. Zbl 1243.91101
Wozabal, David; Hochreiter, Ronald |
|
2012
|
A difference of convex formulation of value-at-risk constrained optimization. Zbl 1196.90088
Wozabal, David; Hochreiter, Ronald; Pflug, Georg Ch. |
|
2010
|
A multi-stage stochastic programming model for managing risk-optimal electricity portfolios. Zbl 1359.90081
Hochreiter, Ronald; Wozabal, David |
|
2010
|
Asymptotic consistency of risk functionals. Zbl 1175.62113
Wozabal, David; Wozabal, Nancy |
|
2009
|
Ambiguity in portfolio selection. Zbl 1180.91272
Pflug, Georg; Wozabal, David |
|
2009
|
Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David |
|
2007
|
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. Zbl 1223.90084
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D. |
|
2006
|