Polyhedral risk measures in electricity portfolio optimization | Zendy

Eichhorn Andreas | Zendy; Römisch Werner | Zendy; Wegner Isabel | Zendy

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Polyhedral risk measures in electricity portfolio optimization

Author(s) -

Eichhorn Andreas,

Römisch Werner,

Wegner Isabel

Publication year - 2004

Publication title -

pamm

Language(s) - English

Resource type - Journals

ISSN - 1617-7061

DOI - 10.1002/pamm.200410002

Subject(s) - portfolio , portfolio optimization , stochastic programming , electricity , class (philosophy) , mathematical optimization , computer science , modern portfolio theory , econometrics , operations research , economics , engineering , mathematics , financial economics , artificial intelligence , electrical engineering

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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