Raimund M. Kovacevic

Personal Details

First Name:	Raimund
Middle Name:	M.
Last Name:	Kovacevic
Suffix:
RePEc Short-ID:	pko987

Affiliation

Institut für Stochastik und Wirtschaftsmathematik
Technische Universität Wien

Wien, Austria
https://swm.tuwien.ac.at/
RePEc:edi:imtuwat (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Kovacevic, Raimund M. & Paraschiv, Florentina, 2012. "Medium-term Planning for Thermal Electricity Production," Working Papers on Finance 1220, University of St. Gallen, School of Finance.

   Cited by:

   1. Karl Frauendorfer & Florentina Paraschiv & Michael Schürle, 2018. "Cross-Border Effects on Swiss Electricity Prices in the Light of the Energy Transition," Energies, MDPI, vol. 11(9), pages 1-30, August.
   2. Kovacevic, Raimund M. & Pflug, Georg Ch., 2014. "Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches," European Journal of Operational Research, Elsevier, vol. 237(2), pages 389-403.
   3. Paraschiv, Florentina & Erni, David & Pietsch, Ralf, 2014. "The impact of renewable energies on EEX day-ahead electricity prices," Energy Policy, Elsevier, vol. 73(C), pages 196-210.
   4. Paraschiv, Florentina & Fleten, Stein-Erik & Schürle, Michael, 2015. "A spot-forward model for electricity prices with regime shifts," Energy Economics, Elsevier, vol. 47(C), pages 142-153.
   5. Hagfors, Lars Ivar & Kamperud , Hilde Horthe & Paraschiv, Florentina & Prokopczuk, Marcel & Sator, Alma & Westgaard, Sjur, 2016. "Prediction of Extreme Price Occurrences in the German Day-ahead Electricity Market," Working Papers on Finance 1622, University of St. Gallen, School of Finance.
      • Lars Ivar Hagfors & Hilde Hørthe Kamperud & Florentina Paraschiv & Marcel Prokopczuk & Alma Sator & Sjur Westgaard, 2016. "Prediction of extreme price occurrences in the German day-ahead electricity market," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1929-1948, December.
   6. Raimund M. Kovacevic, 2019. "Valuation and pricing of electricity delivery contracts: the producer’s view," Annals of Operations Research, Springer, vol. 275(2), pages 421-460, April.
   7. Andreas Welling, 2017. "Green Finance: Recent developments, characteristics and important actors," FEMM Working Papers 170002, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
   8. Hannes Schwarz & Valentin Bertsch & Wolf Fichtner, 2018. "Two-stage stochastic, large-scale optimization of a decentralized energy system: a case study focusing on solar PV, heat pumps and storage in a residential quarter," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 40(1), pages 265-310, January.

Articles

1. Raimund M. Kovacevic, 2019. "Valuation and pricing of electricity delivery contracts: the producer’s view," Annals of Operations Research, Springer, vol. 275(2), pages 421-460, April.

   Cited by:

   1. Parlane, Sarah & Ryan, Lisa, 2020. "Optimal contracts for renewable electricity," Energy Economics, Elsevier, vol. 91(C).
      • Sarah Parlane & L. (Lisa B.) Ryan, 2019. "Optimal Contracts for Renewable Electricity," Working Papers 201920, School of Economics, University College Dublin.
   2. Nadarajah, Selvaprabu & Secomandi, Nicola, 2023. "A review of the operations literature on real options in energy," European Journal of Operational Research, Elsevier, vol. 309(2), pages 469-487.
   3. Nima Monghasemi & Amir Vadiee & Konstantinos Kyprianidis & Elaheh Jalilzadehazhari, 2023. "Rank-Based Assessment of Grid-Connected Rooftop Solar Panel Deployments Considering Scenarios for a Postponed Installation," Energies, MDPI, vol. 16(21), pages 1-16, October.
   4. López-Ramos, Francisco & Nasini, Stefano & Sayed, Mohamed H., 2020. "An integrated planning model in centralized power systems," European Journal of Operational Research, Elsevier, vol. 287(1), pages 361-377.

2. Raimund M. Kovacevic, 2018. "Stochastic contagion models without immunity: their long term behaviour and the optimal level of treatment," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(2), pages 395-421, June.

   Cited by:

   1. Immanuel Bomze & Karl F. Dörner & Richard F. Hartl & Ulrike Leopold-Wildburger & Georg Pflug & Marion Rauner & Christian Stummer & Gernot Tragler & Tina Wakolbinger, 2018. "Emerging and innovative OR applications: a special issue in honor of Walter J. Gutjahr," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(2), pages 259-263, June.

3. Raimund Kovacevic & Alois Pichler, 2015. "Tree approximation for discrete time stochastic processes: a process distance approach," Annals of Operations Research, Springer, vol. 235(1), pages 395-421, December.

   Cited by:

   1. Martin Glanzer & Georg Ch. Pflug, 2020. "Multiscale stochastic optimization: modeling aspects and scenario generation," Computational Optimization and Applications, Springer, vol. 75(1), pages 1-34, January.
   2. Alois Pichler & Michael Weinhardt, 2022. "The nested Sinkhorn divergence to learn the nested distance," Computational Management Science, Springer, vol. 19(2), pages 269-293, June.
   3. Markéta Horejšová & Sebastiano Vitali & Miloš Kopa & Vittorio Moriggia, 2020. "Evaluation of scenario reduction algorithms with nested distance," Computational Management Science, Springer, vol. 17(2), pages 241-275, June.
   4. Raimund M. Kovacevic, 2019. "Valuation and pricing of electricity delivery contracts: the producer’s view," Annals of Operations Research, Springer, vol. 275(2), pages 421-460, April.
   5. Weiguo Zhang & Xiaolei He, 2022. "A New Scenario Reduction Method Based on Higher-Order Moments," INFORMS Journal on Computing, INFORMS, vol. 34(4), pages 1903-1918, July.
   6. Delgado, Felipe & Trincado, Ricardo & Pagnoncelli, Bernardo K., 2019. "A multistage stochastic programming model for the network air cargo allocation under capacity uncertainty," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 131(C), pages 292-307.
   7. Giovanni Pantuso & Trine K. Boomsma, 2020. "On the number of stages in multistage stochastic programs," Annals of Operations Research, Springer, vol. 292(2), pages 581-603, September.
   8. Hannes Schwarz & Valentin Bertsch & Wolf Fichtner, 2018. "Two-stage stochastic, large-scale optimization of a decentralized energy system: a case study focusing on solar PV, heat pumps and storage in a residential quarter," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 40(1), pages 265-310, January.
   9. Nichols, J.M. & Spendelow, J.A. & Nichols, J.D., 2017. "Using Optimal Transport Theory to Estimate Transition Probabilities in Metapopulation Dynamics," Ecological Modelling, Elsevier, vol. 359(C), pages 311-319.
   10. W. Ackooij & X. Warin, 2020. "On conditional cuts for stochastic dual dynamic programming," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 8(2), pages 173-199, June.
   11. Yi Yang & Sixin Wang & Wei Xu & Kunlun Wei, 2018. "Reliability evaluation of wireless multimedia sensor networks based on instantaneous availability," International Journal of Distributed Sensor Networks, , vol. 14(11), pages 15501477188, November.

4. Kovacevic, Raimund M. & Pflug, Georg Ch., 2014. "Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches," European Journal of Operational Research, Elsevier, vol. 237(2), pages 389-403.

   Cited by:

   1. Claus, Matthias, 2022. "Existence of solutions for a class of bilevel stochastic linear programs," European Journal of Operational Research, Elsevier, vol. 299(2), pages 542-549.
   2. Acuna, Jorge A. & Zayas-Castro, Jose L. & Feijoo, Felipe, 2022. "A bilevel Nash-in-Nash model for hospital mergers: A key to affordable care," Socio-Economic Planning Sciences, Elsevier, vol. 83(C).
   3. Beck, Yasmine & Ljubić, Ivana & Schmidt, Martin, 2023. "A survey on bilevel optimization under uncertainty," European Journal of Operational Research, Elsevier, vol. 311(2), pages 401-426.
   4. Acuña, Luceny Guzmán & Ríos, Diana Ramírez & Arboleda, Carlos Paternina & Ponzón, Esneyder González, 2018. "Cooperation model in the electricity energy market using bi-level optimization and Shapley value," Operations Research Perspectives, Elsevier, vol. 5(C), pages 161-168.
   5. Raimund M. Kovacevic, 2019. "Valuation and pricing of electricity delivery contracts: the producer’s view," Annals of Operations Research, Springer, vol. 275(2), pages 421-460, April.
   6. Escudero, Laureano F. & Monge, Juan F. & Rodríguez-Chía, Antonio M., 2020. "On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty," European Journal of Operational Research, Elsevier, vol. 287(1), pages 262-279.
   7. Andreani, R. & Júdice, J.J. & Martínez, J.M. & Martini, T., 2016. "Feasibility problems with complementarity constraints," European Journal of Operational Research, Elsevier, vol. 249(1), pages 41-54.

5. Raimund Kovacevic & David Wozabal, 2014. "A semiparametric model for electricity spot prices," IISE Transactions, Taylor & Francis Journals, vol. 46(4), pages 344-356.

   Cited by:

   1. Christian Pape & Oliver Woll & Christoph Weber, "undated". "Estimating the value of flexibility from real options: On the accuracy of hybrid electricity price models," EWL Working Papers 1804, University of Duisburg-Essen, Chair for Management Science and Energy Economics.
   2. Shao, Zhen & Gao, Fei & Yang, Shan-Lin & Yu, Ben-gong, 2015. "A new semiparametric and EEMD based framework for mid-term electricity demand forecasting in China: Hidden characteristic extraction and probability density prediction," Renewable and Sustainable Energy Reviews, Elsevier, vol. 52(C), pages 876-889.
   3. Kuppelwieser, Thomas & Wozabal, David, 2021. "Liquidity costs on intraday power markets: Continuous trading versus auctions," Energy Policy, Elsevier, vol. 154(C).
   4. Christian Pape & Arne Vogler & Oliver Woll & Christoph Weber, 2017. "Forecasting the distributions of hourly electricity spot prices," EWL Working Papers 1705, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised May 2017.

6. Kovacevic Raimund M., 2012. "Conditional risk and acceptability mappings as Banach-lattice valued mappings," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 1-18, March.

   Cited by:

   1. Zachary Feinstein & Birgit Rudloff, 2013. "Time consistency of dynamic risk measures in markets with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1473-1489, September.
   2. Raimund M. Kovacevic, 2019. "Valuation and pricing of electricity delivery contracts: the producer’s view," Annals of Operations Research, Springer, vol. 275(2), pages 421-460, April.

7. Raimund M. Kovacevic & Georg Ch. Pflug, 2011. "Does Insurance Help to Escape the Poverty Trap?—A Ruin Theoretic Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(4), pages 1003-1028, December.

   Cited by:

   1. Jos'e Miguel Flores-Contr'o & Kira Henshaw & Sooie-Hoe Loke & S'everine Arnold & Corina Constantinescu, 2021. "Subsidising Inclusive Insurance to Reduce Poverty," Papers 2103.17255, arXiv.org, revised Feb 2024.
   2. Romain Azaïs & Alexandre Genadot, 2015. "Semi-parametric inference for the absorption features of a growth-fragmentation model," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(2), pages 341-360, June.
   3. Jos'e Miguel Flores-Contr'o & S'everine Arnold, 2023. "The Role of Direct Capital Cash Transfers Towards Poverty and Extreme Poverty Alleviation -- An Omega Risk Process," Papers 2401.06141, arXiv.org, revised Feb 2024.
   4. Stefan Mittnik & Willi Semmler & Alexander Haider, 2020. "Climate Disaster Risks—Empirics and a Multi-Phase Dynamic Model," Econometrics, MDPI, vol. 8(3), pages 1-27, August.
      • Stefan Mittnik & Willi Semmler & Alexander Haider, 2019. "Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model," IMF Working Papers 2019/145, International Monetary Fund.
   5. Jos'e Miguel Flores-Contr'o, 2024. "The Gerber-Shiu Expected Discounted Penalty Function: An Application to Poverty Trapping," Papers 2402.11715, arXiv.org, revised Sep 2024.
   6. Sarah A. Janzen & Michael R. Carter & Munenobu Ikegami, 2021. "Can insurance alter poverty dynamics and reduce the cost of social protection in developing countries?," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 293-324, June.
   7. Pu Liao & Xianhua Zhou & Qingquan Fan, 2020. "Does agricultural insurance help farmers escape the poverty trap? Research based on multiple equilibrium models," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 45(1), pages 203-223, January.
   8. Elena Kühne, 2020. "Building climate resilience through social protection in Brazil: the Garantia Safra public climate risk insurance programme," Policy Research Brief 70, International Policy Centre for Inclusive Growth.

Books

1. Gustav Feichtinger & Raimund M. Kovacevic & Gernot Tragler (ed.), 2018. "Control Systems and Mathematical Methods in Economics," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-319-75169-6, July.

   Cited by:

   1. de la Croix, David & Doepke, Matthias, 2021. "A soul’s view of the optimal population problem," Mathematical Social Sciences, Elsevier, vol. 112(C), pages 98-108.
      • David de la Croix & Matthias Doepke, 2021. "A Soul’s View of the Optimal Population Problem," LIDAM Discussion Papers IRES 2021007, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
      • David de la Croix & Matthias Doepke, 2021. "A Soul's View of the Optimal Population Problem," Working Papers 2021-011, Human Capital and Economic Opportunity Working Group.
      • David de la Croix & Matthias Doepke, 2021. "A Soul's View of the Optimal Population Problem," NBER Working Papers 28554, National Bureau of Economic Research, Inc.
      • Doepke, Matthias & de la Croix, David, 2021. "A Soul's View of the Optimal Population Problem," CEPR Discussion Papers 15911, C.E.P.R. Discussion Papers.
      • de la Croix, David & Doepke, Matthias, 2021. "A Soul's View of the Optimal Population Problem," IZA Discussion Papers 14222, Institute of Labor Economics (IZA).
   2. Patrik Rovný & Serhiy Moroz & Jozef Palkovič & Elena Horská, 2021. "Impact of Demographic Structure on Economic Development of Ukrainian Coastal Regions," Sustainability, MDPI, vol. 13(4), pages 1-19, February.
   3. Giovanni Di Bartolomeo & Behnaz Minooei Fard & Willi Semmler, 2021. "Greenhouse gases mitigation: Global externalities and short termism," Working Papers in Public Economics 196, University of Rome La Sapienza, Department of Economics and Law.
      • Di Bartolomeo, Giovanni & Minooei Fard, Behnaz & Semmler, Willi, 2023. "Greenhouse gases mitigation: global externalities and short-termism," Environment and Development Economics, Cambridge University Press, vol. 28(3), pages 230-241, June.
      • Willi Semmler & Giovanni Di Bartolomeo & Behnaz Minooei Fard, 2022. "Greenhouse gases mitigation: global externalities and short-termism," wp.comunite 00159, Department of Communication, University of Teramo.
   4. Escribá-Pérez, F.J. & Murgui-García, M.J. & Ruiz-Tamarit, J.R., 2018. "Economic and statistical measurement of physical capital: From theory to practice," Economic Modelling, Elsevier, vol. 75(C), pages 246-255.

2. Raimund M. Kovacevic & Georg Ch. Pflug & Maria Teresa Vespucci (ed.), 2013. "Handbook of Risk Management in Energy Production and Trading," International Series in Operations Research and Management Science, Springer, edition 127, number 978-1-4614-9035-7, April.

   Cited by:

   1. Raimund M. Kovacevic, 2019. "Arbitrage conditions for electricity markets with production and storage," Computational Management Science, Springer, vol. 16(4), pages 671-696, October.
   2. Kyritsis, Evangelos & Andersson, Jonas & Serletis, Apostolos, 2017. "Electricity prices, large-scale renewable integration, and policy implications," Energy Policy, Elsevier, vol. 101(C), pages 550-560.
      • Kyritsis, Evangelos & Andersson, Jonas & Serletis, Apostolos, 2016. "Electricity Prices, Large-Scale Renewable Integration, and Policy Implications," Discussion Papers 2016/18, Norwegian School of Economics, Department of Business and Management Science.
   3. Paul Adrianus van Baal, 2020. "Effectiveness of a strategic energy reserve during the energy transition: The case of Switzerland," Competition and Regulation in Network Industries, , vol. 21(2), pages 65-90, June.
   4. Egging, Ruud & Pichler, Alois & Kalvø, Øyvind Iversen & Walle–Hansen, Thomas Meyer, 2017. "Risk aversion in imperfect natural gas markets," European Journal of Operational Research, Elsevier, vol. 259(1), pages 367-383.
   5. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
   6. Francesca Maggioni & Elisabetta Allevi & Asgeir Tomasgard, 2020. "Bounds in multi-horizon stochastic programs," Annals of Operations Research, Springer, vol. 292(2), pages 605-625, September.
   7. Leibowicz, Benjamin D. & Krey, Volker & Grubler, Arnulf, 2016. "Representing spatial technology diffusion in an energy system optimization model," Technological Forecasting and Social Change, Elsevier, vol. 103(C), pages 350-363.
   8. Peter Lopion & Peter Markewitz & Detlef Stolten & Martin Robinius, 2019. "Cost Uncertainties in Energy System Optimization Models: A Quadratic Programming Approach for Avoiding Penny Switching Effects," Energies, MDPI, vol. 12(20), pages 1-12, October.
   9. Leibowicz, Benjamin D., 2015. "Growth and competition in renewable energy industries: Insights from an integrated assessment model with strategic firms," Energy Economics, Elsevier, vol. 52(PA), pages 13-25.
   10. Laureano F. Escudero & Juan F. Monge, 2021. "On Multistage Multiscale Stochastic Capacitated Multiple Allocation Hub Network Expansion Planning," Mathematics, MDPI, vol. 9(24), pages 1-39, December.
   11. Bruno, Sergio & Ahmed, Shabbir & Shapiro, Alexander & Street, Alexandre, 2016. "Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty," European Journal of Operational Research, Elsevier, vol. 250(3), pages 979-989.
   12. Ederer, Nikolaus, 2015. "The market value and impact of offshore wind on the electricity spot market: Evidence from Germany," Applied Energy, Elsevier, vol. 154(C), pages 805-814.
   13. Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu, 2014. "Utility indifference pricing and hedging for structured contracts in energy markets," Papers 1407.7725, arXiv.org, revised Feb 2016.
       • Callegaro, Giorgia & Campi, Luciano & Giusto, Valeria & Vargiolu, Tiziano, 2017. "Utility indifference pricing and hedging for structured contracts in energy markets," LSE Research Online Documents on Economics 68953, London School of Economics and Political Science, LSE Library.
       • Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu, 2017. "Utility indifference pricing and hedging for structured contracts in energy markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 265-303, April.
   14. David Wozabal & Christoph Graf & David Hirschmann, 2016. "The effect of intermittent renewables on the electricity price variance," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(3), pages 687-709, July.
   15. Raimund M. Kovacevic, 2019. "Valuation and pricing of electricity delivery contracts: the producer’s view," Annals of Operations Research, Springer, vol. 275(2), pages 421-460, April.
   16. Cadarso, Luis & Escudero, Laureano F. & Marín, Angel, 2018. "On strategic multistage operational two-stage stochastic 0–1 optimization for the Rapid Transit Network Design problem," European Journal of Operational Research, Elsevier, vol. 271(2), pages 577-593.
   17. Renan W. Prado & Sandra A. Santos & Lucas E. A. Simões, 2023. "On the Fulfillment of the Complementary Approximate Karush–Kuhn–Tucker Conditions and Algorithmic Applications," Journal of Optimization Theory and Applications, Springer, vol. 197(2), pages 705-736, May.
   18. Laureano F. Escudero & Juan F. Monge, 2018. "On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management," Computational Management Science, Springer, vol. 15(3), pages 479-500, October.
   19. Matteo Spada & Peter Burgherr, 2020. "Comparative Risk Assessment for Fossil Energy Chains Using Bayesian Model Averaging," Energies, MDPI, vol. 13(2), pages 1-21, January.
   20. Amal Abdel Razzac & Linda Salahaldin & Salah Eddine Elayoubi & Yezekael Hayel & Tijani Chahed, 2017. "A Game Theoretical Real Options Framework for Investment Decisions in Mobile TV Infrastructure," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 34(04), pages 1-34, August.
   21. Hirschberg, Stefan & Bauer, Christian & Burgherr, Peter & Cazzoli, Eric & Heck, Thomas & Spada, Matteo & Treyer, Karin, 2016. "Health effects of technologies for power generation: Contributions from normal operation, severe accidents and terrorist threat," Reliability Engineering and System Safety, Elsevier, vol. 145(C), pages 373-387.

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