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A spatial mean-variance MIP model for energy market risk analysis

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  • Yu, Zuwei

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  • Yu, Zuwei, 2003. "A spatial mean-variance MIP model for energy market risk analysis," Energy Economics, Elsevier, vol. 25(3), pages 255-268, May.
    • Handle: RePEc:eee:eneeco:v:25:y:2003:i:3:p:255-268
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    1. Leland, Hayne E, 1985. "Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    2. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    4. Lensberg, Terje, 1999. "Investment behavior under Knightian uncertainty - An evolutionary approach," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1587-1604, September.
    5. Porter, R Burr, 1974. "Semivariance and Stochastic Dominance: A Comparison," American Economic Review, American Economic Association, vol. 64(1), pages 200-204, March.
    6. Dimitris Bertsimas & Christopher Darnell & Robert Soucy, 1999. "Portfolio Construction Through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company," Interfaces, INFORMS, vol. 29(1), pages 49-66, February.
    7. William W. Hogan, 1997. "A Market Power Model with Strategic Interaction in Electricity Networks," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 107-141.
    8. Hans Kellerer & Renata Mansini & M. Speranza, 2000. "Selecting Portfolios with Fixed Costs and Minimum Transaction Lots," Annals of Operations Research, Springer, vol. 99(1), pages 287-304, December.
    9. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    10. Pogue, G A, 1970. "An Extension of the Markowitz Portfolio Selection Model to Include Variable Transactions' Costs, Short Sales, Leverage Policies and Taxes," Journal of Finance, American Finance Association, vol. 25(5), pages 1005-1027, December.
    11. Chen, Andrew H Y & Jen, Frank C & Zionts, Stanley, 1971. "The Optimal Portfolio Revision Policy," The Journal of Business, University of Chicago Press, vol. 44(1), pages 51-61, January.
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    Cited by:

    1. Pérez Odeh, Rodrigo & Watts, David & Negrete-Pincetic, Matías, 2018. "Portfolio applications in electricity markets review: Private investor and manager perspective trends," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 192-204.
    2. Muñoz, José Ignacio & Sánchez de la Nieta, Agustín A. & Contreras, Javier & Bernal-Agustín, José L., 2009. "Optimal investment portfolio in renewable energy: The Spanish case," Energy Policy, Elsevier, vol. 37(12), pages 5273-5284, December.
    3. Frank A. Wolak, 2016. "Level versus Variability Trade-offs in Wind and Solar Generation Investments: The Case of California," The Energy Journal, International Association for Energy Economics, vol. 0(Bollino-M).
    4. Frank A. Wolak, 2016. "Level versus Variability Trade-offs in Wind and Solar Generation Investments: The Case of California," NBER Working Papers 22494, National Bureau of Economic Research, Inc.
    5. Ge, Fenglong & Fan, Ying, 2013. "Quantifying the risk to crude oil imports in China: An improved portfolio approach," Energy Economics, Elsevier, vol. 40(C), pages 72-80.

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