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Wozabal, David

Co-Author Distance
Author ID: wozabal.david Recent zbMATH articles by "Wozabal, David"
Published as: Wozabal, David; Wozabal, D.
External Links: MGP · ORCID
Documents Indexed: 20 Publications since 2006
2 Contributions as Editor
Co-Authors: 16 Co-Authors with 19 Joint Publications
338 Co-Co-Authors
all top 5

Co-Authors

3 single-authored
5 Hochreiter, Ronald
4 Pflug, Georg
3 Löhndorf, Nils
1 Graf, Christoph
1 Hirschmann, David
1 Hurink, Johann L.
1 Kiszka, Adriana
1 Kovacevic, Raimund M.
1 Kuppelwieser, Thomas
1 Matthäus, David
1 Rameseder, Gunther
1 Schultz, Rüdiger
1 Schwenen, Sebastian
1 Terça, Gonçalo
1 Wets, Roger Jean-Baptiste
1 Wozabal, Nancy
all top 5

Serials

4 Operations Research
4 OR Spectrum
3 European Journal of Operational Research
2 Mathematical Programming. Series A. Series B
1 Optimization
1 Journal of Economic Dynamics & Control
1 Annals of Operations Research
1 Journal of Nonparametric Statistics
1 Quantitative Finance
all top 5

Fields

18 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
15 Operations research, mathematical programming (90-XX)
3 Statistics (62-XX)
2 General and overarching topics; collections (00-XX)
2 Systems theory; control (93-XX)
1 Functional analysis (46-XX)
1 Probability theory and stochastic processes (60-XX)
1 Numerical analysis (65-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

18 Publications have been cited 279 times in 221 Documents Cited by ▼ Year ▼
Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David
100
2007
A framework for optimization under ambiguity. Zbl 1255.91454
Wozabal, David
37
2012
Optimizing trading decisions for hydro storage systems using approximate dual dynamic programming. Zbl 1291.90125
Löhndorf, Nils; Wozabal, David; Minner, Stefan
35
2013
Robustifying convex risk measures for linear portfolios: a nonparametric approach. Zbl 1358.91116
Wozabal, David
34
2014
A difference of convex formulation of value-at-risk constrained optimization. Zbl 1196.90088
Wozabal, David; Hochreiter, Ronald; Pflug, Georg Ch.
15
2010
Value-at-risk optimization using the difference of convex algorithm. Zbl 1282.91313
Wozabal, David
13
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
11
2020
A coupled Markov chain approach to credit risk modeling. Zbl 1243.91101
Wozabal, David; Hochreiter, Ronald
9
2012
Gas storage valuation in incomplete markets. Zbl 1487.90501
Löhndorf, Nils; Wozabal, David
6
2021
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. Zbl 1223.90084
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D.
5
2006
The effect of intermittent renewables on the electricity price variance. Zbl 1369.91149
Wozabal, David; Graf, Christoph; Hirschmann, David
4
2016
Asymptotic consistency of risk functionals. Zbl 1175.62113
Wozabal, David; Wozabal, Nancy
3
2009
Envelope theorems for multistage linear stochastic optimization. Zbl 1485.90075
Terça, Gonçalo; Wozabal, David
2
2021
Quantitative solutions for future energy systems and markets. Zbl 1368.00056
1
2016
A multi-stage stochastic programming model for managing risk-optimal electricity portfolios. Zbl 1359.90081
Hochreiter, Ronald; Wozabal, David
1
2010
The value of coordination in multimarket bidding of grid energy storage. Zbl 1534.91085
Löhndorf, Nils; Wozabal, David
1
2023
Renewable auctions: bidding for real options. Zbl 1487.91048
Matthäus, David; Schwenen, Sebastian; Wozabal, David
1
2021
Ambiguity in portfolio selection. Zbl 1180.91272
Pflug, Georg; Wozabal, David
1
2009
The value of coordination in multimarket bidding of grid energy storage. Zbl 1534.91085
Löhndorf, Nils; Wozabal, David
1
2023
Gas storage valuation in incomplete markets. Zbl 1487.90501
Löhndorf, Nils; Wozabal, David
6
2021
Envelope theorems for multistage linear stochastic optimization. Zbl 1485.90075
Terça, Gonçalo; Wozabal, David
2
2021
Renewable auctions: bidding for real options. Zbl 1487.91048
Matthäus, David; Schwenen, Sebastian; Wozabal, David
1
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
11
2020
The effect of intermittent renewables on the electricity price variance. Zbl 1369.91149
Wozabal, David; Graf, Christoph; Hirschmann, David
4
2016
Quantitative solutions for future energy systems and markets. Zbl 1368.00056
1
2016
Robustifying convex risk measures for linear portfolios: a nonparametric approach. Zbl 1358.91116
Wozabal, David
34
2014
Optimizing trading decisions for hydro storage systems using approximate dual dynamic programming. Zbl 1291.90125
Löhndorf, Nils; Wozabal, David; Minner, Stefan
35
2013
A framework for optimization under ambiguity. Zbl 1255.91454
Wozabal, David
37
2012
Value-at-risk optimization using the difference of convex algorithm. Zbl 1282.91313
Wozabal, David
13
2012
A coupled Markov chain approach to credit risk modeling. Zbl 1243.91101
Wozabal, David; Hochreiter, Ronald
9
2012
A difference of convex formulation of value-at-risk constrained optimization. Zbl 1196.90088
Wozabal, David; Hochreiter, Ronald; Pflug, Georg Ch.
15
2010
A multi-stage stochastic programming model for managing risk-optimal electricity portfolios. Zbl 1359.90081
Hochreiter, Ronald; Wozabal, David
1
2010
Asymptotic consistency of risk functionals. Zbl 1175.62113
Wozabal, David; Wozabal, Nancy
3
2009
Ambiguity in portfolio selection. Zbl 1180.91272
Pflug, Georg; Wozabal, David
1
2009
Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David
100
2007
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. Zbl 1223.90084
Hochreiter, R.; Pflug, G. Ch.; Wozabal, D.
5
2006
all cited Publications top 5 cited Publications
all top 5

Cited by 409 Authors

12 Pflug, Georg
9 Wozabal, David
9 Xu, Huifu
7 Mehrotra, Sanjay
6 Kuhn, Daniel
6 Lejeune, Miguel A.
6 Pichler, Alois
5 Bansal, Manish Kumar
5 Löhndorf, Nils
4 Branda, Martin
4 Chen, Zhiping
4 Ji, Ran
4 Kaniovski, Yuri M.
4 Noyan, Nilay
4 Powell, Warren Buckler
3 Bertsch, Valentin
3 Dupačová, Jitka
3 Fleten, Stein-Erik
3 Glanzer, Martin
3 Guan, Yongpei
3 Jiang, Daniel R.
3 Kaniovski, Serguei Yu.
3 Liu, Jia
3 Liu, Yongchao
3 Shapiro, Alexander
3 Sun, Hailin
3 Yu, Bo
2 Adam, Lukáš
2 Balbás, Alejandro
2 Balbás, Beatriz
2 Balbás, Raquel
2 Bartl, Daniel
2 Bayraksan, Güzin
2 Birghila, Corina
2 Boonen, Tim J.
2 Boreiko, Dmitri V.
2 Borges, Pedro Castro
2 Carlsson, John Gunnar
2 Chen, Zhi
2 Cuchiero, Christa
2 Duchi, John C.
2 Escobar, Debora Daniela
2 Finnah, Benedikt
2 Geletu, Abebe
2 Ghossoub, Mario
2 Gönsch, Jochen
2 Guigues, Vincent
2 Hassler, Michael
2 Heitsch, Holger
2 Henrion, René
2 Homem-de-Mello, Tito
2 Jaimungal, Sebastian
2 Kibzun, Andreĭ Ivanovich
2 Kim, Woo Chang
2 Klöppel, Michael
2 Kopa, Miloš
2 Kupper, Michael
2 Li, Pu
2 Lisser, Abdel
2 Liu, Haiyan
2 Liu, Wei
2 Maggioni, Francesca
2 Morton, David P.
2 Namkoong, Hongseok
2 Pesenti, Silvana M.
2 Pohl, Mathias
2 Postek, Krzysztof
2 Rahimian, Hamed
2 Rudolf, Gábor
2 Saif, Ahmed A. F.
2 Siddiqui, Afzal S.
2 Thiele, Aurélie C.
2 Tomasgard, Asgeir
2 Valladão, Davi Michel
2 Wang, Ruodu
2 Wiesemann, Wolfram
2 Wong, Hoi Ying
2 Yang, Li
2 Zhang, Dali
2 Zhang, Hui
2 Zhang, Liwei
1 Ahelegbey, Daniel Felix
1 Ahmadi Javid, Amir
1 Ahmed, Shabbir
1 Ahner, Darryl K.
1 Ainslie, Russell
1 Allan, Andrew L.
1 Analui, Bita
1 Anderson, Edward James
1 Anoushirvani, Z.
1 Asimit, Alexandru V.
1 Atakan, Semih
1 Ávila, Daniel
1 Azar, Ali Babapour
1 Babat, Onur
1 Bandarra, Michelle
1 Barton, Paul I.
1 Bäuerle, Nicole
1 Behroozi, Mehdi
1 Bellini, Fabio
...and 309 more Authors
all top 5

Cited in 72 Serials

44 European Journal of Operational Research
19 Mathematical Programming. Series A. Series B
13 Annals of Operations Research
10 OR Spectrum
10 Computational Management Science
6 Operations Research
6 Journal of Global Optimization
6 SIAM Journal on Optimization
5 Mathematics of Operations Research
5 Computational Optimization and Applications
5 INFORMS Journal on Computing
4 Insurance Mathematics & Economics
4 Optimization
4 Computers & Operations Research
3 Journal of Optimization Theory and Applications
3 Mathematical Finance
3 Quantitative Finance
3 SIAM Journal on Financial Mathematics
2 The Annals of Statistics
2 Applied Mathematics and Optimization
2 Journal of Computational and Applied Mathematics
2 SIAM Journal on Control and Optimization
2 Operations Research Letters
2 Machine Learning
2 Applied Mathematical Modelling
2 International Transactions in Operational Research
2 Mathematical Methods of Operations Research
2 CEJOR. Central European Journal of Operations Research
1 International Journal of Systems Science
1 Journal of Statistical Physics
1 Metrika
1 Information Sciences
1 International Journal for Numerical Methods in Engineering
1 Journal of Applied Probability
1 Naval Research Logistics
1 Networks
1 Statistical Science
1 Journal of Economic Dynamics & Control
1 Journal of Scientific Computing
1 European Journal of Applied Mathematics
1 Neural Computation
1 Automation and Remote Control
1 Communications in Statistics. Theory and Methods
1 SIAM Review
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 SIAM Journal on Scientific Computing
1 Journal of Mathematical Sciences (New York)
1 Top
1 Journal of Convex Analysis
1 Finance and Stochastics
1 Optimization Methods & Software
1 Journal of Applied Statistics
1 Methodology and Computing in Applied Probability
1 Optimization and Engineering
1 RAIRO. Operations Research
1 Applied Stochastic Models in Business and Industry
1 Scandinavian Actuarial Journal
1 ASTIN Bulletin
1 4OR
1 North American Actuarial Journal
1 Journal of Industrial and Management Optimization
1 Mathematics and Financial Economics
1 Set-Valued and Variational Analysis
1 International Journal of Stochastic Analysis
1 European Actuarial Journal
1 Annals of Finance
1 Numerical Algebra, Control and Optimization
1 Decision Analysis
1 Journal of the Operations Research Society of China
1 Probability, Uncertainty and Quantitative Risk
1 OJMO. Open Journal of Mathematical Optimization
1 Frontiers of Mathematical Finance
all top 5

Cited in 15 Fields

166 Operations research, mathematical programming (90-XX)
96 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
29 Statistics (62-XX)
18 Probability theory and stochastic processes (60-XX)
11 Systems theory; control (93-XX)
9 Computer science (68-XX)
8 Numerical analysis (65-XX)
5 Calculus of variations and optimal control; optimization (49-XX)
1 General and overarching topics; collections (00-XX)
1 History and biography (01-XX)
1 Partial differential equations (35-XX)
1 Operator theory (47-XX)
1 Convex and discrete geometry (52-XX)
1 Mechanics of deformable solids (74-XX)
1 Mathematics education (97-XX)

Citations by Year