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Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules

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  1. Debbie J. Dupuis & Geneviéve Gauthier & Fréderic Godin, 2016. "Short-term Hedging for an Electricity Retailer," The Energy Journal, , vol. 37(2), pages 31-60, April.
  2. Liu, Yong-Jun & Zhang, Wei-Guo, 2015. "A multi-period fuzzy portfolio optimization model with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 242(3), pages 933-941.
  3. Densing, M., 2013. "Dispatch planning using newsvendor dual problems and occupation times: Application to hydropower," European Journal of Operational Research, Elsevier, vol. 228(2), pages 321-330.
  4. Taheri, Seyed Danial Mohseni & Nadarajah, Selvaprabu & Trivella, Alessio, 2025. "Physical vs Virtual corporate power purchase agreements: Meeting renewable targets amid demand and price uncertainty," European Journal of Operational Research, Elsevier, vol. 320(1), pages 256-270.
  5. Xiangyi Fan & Grani A. Hanasusanto, 2024. "A Decision Rule Approach for Two-Stage Data-Driven Distributionally Robust Optimization Problems with Random Recourse," INFORMS Journal on Computing, INFORMS, vol. 36(2), pages 526-542, March.
  6. 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.
  7. Ethem Çanakoğlu & Esra Adıyeke, 2020. "Comparison of Electricity Spot Price Modelling and Risk Management Applications," Energies, MDPI, vol. 13(18), pages 1-22, September.
  8. Xie, Y.L. & Xia, D.H. & Ji, L. & Zhou, W.N. & Huang, G.H., 2017. "An inexact cost-risk balanced model for regional energy structure adjustment management and resources environmental effect analysis-a case study of Shandong province, China," Energy, Elsevier, vol. 126(C), pages 374-391.
  9. Guigues, Vincent & Juditsky, Anatoli & Nemirovski, Arkadi, 2021. "Constant Depth Decision Rules for multistage optimization under uncertainty," European Journal of Operational Research, Elsevier, vol. 295(1), pages 223-232.
  10. 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.
  11. Takano, Yuichi & Gotoh, Jun-ya, 2023. "Dynamic portfolio selection with linear control policies for coherent risk minimization," Operations Research Perspectives, Elsevier, vol. 10(C).
  12. Phebe Vayanos & Qing Jin & George Elissaios, 2022. "ROC++: Robust Optimization in C++," INFORMS Journal on Computing, INFORMS, vol. 34(6), pages 2873-2888, November.
  13. Jianzhe Zhen & Ahmadreza Marandi & Danique de Moor & Dick den Hertog & Lieven Vandenberghe, 2022. "Disjoint Bilinear Optimization: A Two-Stage Robust Optimization Perspective," INFORMS Journal on Computing, INFORMS, vol. 34(5), pages 2410-2427, September.
  14. Bjørndal, Endre & Bjørndal, Mette Helene & Coniglio, Stefano & Körner, Marc-Fabian & Leinauer, Christina & Weibelzahl, Martin, 2023. "Energy storage operation and electricity market design: On the market power of monopolistic storage operators," European Journal of Operational Research, Elsevier, vol. 307(2), pages 887-909.
  15. Xie, Y.L. & Huang, G.H. & Li, W. & Ji, L., 2014. "Carbon and air pollutants constrained energy planning for clean power generation with a robust optimization model—A case study of Jining City, China," Applied Energy, Elsevier, vol. 136(C), pages 150-167.
  16. Fonseca, Raquel J. & Rustem, Berç, 2012. "International portfolio management with affine policies," European Journal of Operational Research, Elsevier, vol. 223(1), pages 177-187.
  17. Juan M. Gómez & Yeny E. Rodríguez, 2022. "Multiperiod Portfolio of Energy Purchasing Strategies including Climate Scenarios," Energies, MDPI, vol. 15(9), pages 1-25, April.
  18. Gauvin, Charles & Delage, Erick & Gendreau, Michel, 2018. "A stochastic program with time series and affine decision rules for the reservoir management problem," European Journal of Operational Research, Elsevier, vol. 267(2), pages 716-732.
  19. Frans J. C. T. Ruiter & Aharon Ben-Tal & Ruud C. M. Brekelmans & Dick Hertog, 2017. "Robust optimization of uncertain multistage inventory systems with inexact data in decision rules," Computational Management Science, Springer, vol. 14(1), pages 45-66, January.
  20. Xiaojia Guo & Alexandros Beskos & Afzal Siddiqui, 2016. "The natural hedge of a gas-fired power plant," Computational Management Science, Springer, vol. 13(1), pages 63-86, January.
  21. Barbara Glensk & Reinhard Madlener, 2013. "Multi-period portfolio optimization of power generation assets," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 23(4), pages 20-38.
  22. Downward, Anthony & Young, David & Zakeri, Golbon, 2016. "Electricity retail contracting under risk-aversion," European Journal of Operational Research, Elsevier, vol. 251(3), pages 846-859.
  23. Moreira, Alexandre & Pozo, David & Street, Alexandre & Sauma, Enzo & Strbac, Goran, 2021. "Climate‐aware generation and transmission expansion planning: A three‐stage robust optimization approach," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1099-1118.
  24. Charwand, Mansour & Gitizadeh, Mohsen & Siano, Pierluigi, 2017. "A new active portfolio risk management for an electricity retailer based on a drawdown risk preference," Energy, Elsevier, vol. 118(C), pages 387-398.
  25. de Moor, Danique & Wagenaar, Joris & Poos, Robert & den Hertog, Dick & Fleuren, Hein, 2024. "A robust approach to food aid supply chains," European Journal of Operational Research, Elsevier, vol. 318(1), pages 269-285.
  26. Salo, Ahti & Doumpos, Michalis & Liesiö, Juuso & Zopounidis, Constantin, 2024. "Fifty years of portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(1), pages 1-18.
  27. Pérez Odeh, Rodrigo & Watts, David & Flores, Yarela, 2018. "Planning in a changing environment: Applications of portfolio optimisation to deal with risk in the electricity sector," Renewable and Sustainable Energy Reviews, Elsevier, vol. 82(P3), pages 3808-3823.
  28. Debbie Dupuis, Geneviève Gauthier, and Fréderic Godin, 2016. "Short-term Hedging for an Electricity Retailer," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
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