369 search results - page 1 / 74 » A Stochastic Programming Approach to Power Portfolio Optimiz... |
IOR
2006
13 years 5 months ago
2006
The DASH model for Power Portfolio Optimization provides a tool which helps decision-makers coordinate production decisions with opportunities in the wholesale power market. The m...
IFIP
2005
Springer
13 years 11 months ago
2005
Springer
In this paper we analyze the electricity portfolio problem of a big consumer in a multi-stage stochastic programming framework. Stochasticity enters the model via the uncertain spo...
CEC
2005
IEEE
13 years 11 months ago
2005
IEEE
—A principal challenge in modern computational finance is efficient portfolio design – portfolio optimization followed by decision-making. Optimization based on even the widely...
IOR
2011
13 years 16 days ago
2011
We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as ...
EOR
2006
13 years 5 months ago
2006
We consider multi-period portfolio selection problems for a decision maker with a specified utility function when the variance of security returns is described by a discrete time ...