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1999-12-20Buch DOI: 10.18452/8221
Hedging electricity portfolios via stochastic programming
dc.contributor.authorFleten, Stein-Erik
dc.contributor.authorWallace, Stein W.
dc.contributor.authorZiemba, William T.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:35:09Z
dc.date.available2017-06-16T19:35:09Z
dc.date.created2006-02-08
dc.date.issued1999-12-20
dc.date.submitted1999-11-08
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8873
dc.description.abstractElectricity producers participating in the Nordic wholesale-level market face significant uncertainty in inflow to reservoirs and prices in the spot and contract markets. Taking the view of a single risk-averse producer, we propose a stochastic programming model for the coordination of physical generation resources with hedging through the forward and option market. Numerical results are presented for a five-stage. 256 scenario model that has a two year horizon.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectStochastic programmingeng
dc.subjecthydro schedulingeng
dc.subjectportfolio managementeng
dc.subjectderegulated electricity marketeng
dc.subject.ddc510 Mathematik
dc.titleHedging electricity portfolios via stochastic programming
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/8873-6
dc.identifier.doihttp://dx.doi.org/10.18452/8221
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameSpringer
local.edoc.container-publisher-placeNew York [u.a.]
local.edoc.container-volume1999
local.edoc.container-issue5
local.edoc.container-year2002
local.edoc.container-erstkatid2936317-2

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