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Polyhedral risk measures in electricity portfolio optimization

  1. Andreas Eichhorn*,
  2. Werner Römisch,
  3. Isabel Wegner

Article first published online: 5 NOV 2004

DOI: 10.1002/pamm.200410002

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PAMM

PAMM

Volume 4, Issue 1, pages 7–10, December 2004

Additional Information

How to Cite

Eichhorn, A., Römisch, W. and Wegner, I. (2004), Polyhedral risk measures in electricity portfolio optimization. Proc. Appl. Math. Mech., 4: 7–10. doi: 10.1002/pamm.200410002

Author Information

  1. Humboldt-University Berlin, Department of Mathematics, 10099 Berlin, Germany

*Phone: +49/(0)30/2093-5498, Fax: +49/(0)30/2093-2232

Publication History

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

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Abstract

We compare different multiperiod risk measures taken from the class of polyhedral risk measures with respect to the effect they show when used in the objective of a stochastic program. For this purpose, simulation results of a stochastic programming model for optimizing the electricity portfolio of a German municipal power utility are presented and analyzed. This model aims to minimize risk and expected overall cost simultaneously. (© 2004 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim)

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