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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

Issue

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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References

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    Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Coherent measures of risk, Mathematical Finance 9 (1999), 203-228.
  • [2]
    Artzner, P., Delbaen, F., Eber, J.-M., Heath, D., Ku, H.: Coherent multiperiod risk adjusted values and Bellman's principle, manuscript (2004), downloadable from 〈www.math.ethz.ch/∼delbaen〉.
  • [3]
    Eichhorn, A., Römisch, W.: Polyhedral risk measures in stochastic programming, Preprint 2004-05, Department of Mathematics, Humboldt-University Berlin (2004), submitted to SIAM Journal on Optimization.
  • [4]
    Eichhorn, A., Gröwe-Kuska, N., Liebscher, A., Römisch, W., Spangardt, G., Wegner, I.: Mean risk optimization of electricity portfolios, Proceedings in Applied Mathematics and Mechanics (PAMM) (2004).
  • [5]
    Föllmer, H., Schied, A.: Stochastic Finance: An Introduction in Discrete Time, Walter de Gruyter, Berlin (2002).
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    Pflug, G., Ruszczyński, A.: Risk measures for income streams, in: Risk Measures for the 21st Century (Szegö, G. ed.), Wiley (2004).
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    Rockafellar, R. T., Uryasev, S.: Conditional value-at-risk for general loss distributions, Journal of Banking & Finance 26 (2002), 1443-1471.
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    Ruszczyński, A., Shapiro, A.: Optimization of convex risk functions, Stochastic Programming E-Print Series 2004-08, downloadable from 〈www.speps.info〉.
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