Premium
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)