Minisymposium MA1

You have free access to this content

Mean-risk optimization of electricity portfolios

  1. Andreas Eichhorn1,
  2. Nicole Gröwe-Kuska1,
  3. Andrea Liebscher2,
  4. Werner Römisch1,
  5. Gorden Spangardt3,
  6. Isabel Wegner1,*

Article first published online: 5 NOV 2004

DOI: 10.1002/pamm.200410001

Issue

PAMM

PAMM

Volume 4, Issue 1, pages 3–6, December 2004

Additional Information

How to Cite

Eichhorn, A., Gröwe-Kuska, N., Liebscher, A., Römisch, W., Spangardt, G. and Wegner, I. (2004), Mean-risk optimization of electricity portfolios. Proc. Appl. Math. Mech., 4: 3–6. doi: 10.1002/pamm.200410001

Author Information

  1. 1

    Humboldt University, Department of Mathematics, 10099 Berlin, Germany

  2. 2

    DREWAG Stadtwerke Dresden GmbH, Rosenstraße 32, 01067 Dresden, Germany

  3. 3

    Fraunhofer Institute UMSICHT, Osterfelder Str. 3, 46047 Oberhausen, Germany

*Phone: +49 (0)30 / 2093-2624

Publication History

  1. Issue published online: 5 NOV 2004
  2. Article first published online: 5 NOV 2004

SEARCH

SEARCH BY CITATION

ARTICLE TOOLS

Get PDF (234K)

References

  • [1]
    Artzner, P., Delbaen, F., Eber, J.-M., Heath, D., Coherent measures ofrisk, Mathematical Finance 9, 1999, 203–228.
  • [2]
    Clewlow, L., Strickland, C., Energy Derivatives, Pricing and Risk Management, LACIMA Publications, London, 2000.
  • [3]
    Eichhorn, A., Römisch, W., Polyhedral risk measures in stochastic programming, Preprint 04-05, Humboldt University Berlin, 2004.
  • [4]
    Eichhorn, A., Römisch, G., Wegner, I., Optimizing electricity portfolios using polyhedral risk measures, Proceedings in Applied Mathematics and Mechanics, 2004.
  • [5]
    Escribano, Á., Pẽna, J., Villaplana, P., Modeling electricity prices, Working Paper 02-27, Economics Series 08, 2002.
  • [6]
    Gröwe-Kuska, N.; Heitsch, H.; Römisch, W., Scenario reduction and scenario tree construction for power management problems, IEEE Bologna Power Tech Proceedings (A. Borghetti, C. A. Nucci, M. Paolone eds.), 2003.
  • [7]
    Gröwe-Kuska, N., Kiwiel, K. C., Nowak, M. P., Römisch, W., Wegner, I., Power management in a hydro-thermal system under uncertainty by Lagrangian relaxation. In: Decision Making under Uncertainty: Energy and Power (C. Greengard, A. Ruszczynski eds.), IMA Volumes in Mathematics and its Applications Vol. 128, Springer, New York 2002, 39–70.
  • [8]
    N. Gröwe-Kuska, A. Liebscher, M. Lucht, W. Römisch, G. Spangardt und I. Wegner, Mittelfristige risikoorientierte Optimierung von Strombeschaffungs-Portfolios kleinerer Marktteilnehmer, Preprint 03-11, Humboldt University Berlin, 2003.
  • [9]
    Rockafellar, R. T., Uryasev, S., Conditional value-at-risk for general loss distributions, Journal of Banking & Finance 26, 2002.
  • [10]
    Sen, S., Yu, L., Genc, T., A stochastic programming approach to power portfolio optimization, Stochastic Programming E-Print Series 02-2003 (〈www.speps.info〉).
Get PDF (234K)