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Risk aversion for an electricity retailer with second-order stochastic dominance constraints

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  • Miguel Carrión
  • Uwe Gotzes
  • Rüdiger Schultz

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  • Miguel Carrión & Uwe Gotzes & Rüdiger Schultz, 2009. "Risk aversion for an electricity retailer with second-order stochastic dominance constraints," Computational Management Science, Springer, vol. 6(2), pages 233-250, May.
    • Handle: RePEc:spr:comgts:v:6:y:2009:i:2:p:233-250
    DOI: 10.1007/s10287-008-0091-2
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    References listed on IDEAS

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    1. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Optimization Under First Order Stochastic Dominance Constraints," GE, Growth, Math methods 0403002, University Library of Munich, Germany, revised 07 Aug 2005.
    2. Marco Scarsini & Alfred Muller, 2006. "Stochastic order relations and lattices of probability measures," Post-Print hal-00539119, HAL.
    3. Conejo, Antonio J. & Contreras, Javier & Espinola, Rosa & Plazas, Miguel A., 2005. "Forecasting electricity prices for a day-ahead pool-based electric energy market," International Journal of Forecasting, Elsevier, vol. 21(3), pages 435-462.
    4. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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    Cited by:

    1. Domínguez, Ruth & Vitali, Sebastiano & Carrión, Miguel & Moriggia, Vittorio, 2021. "Analysing decarbonizing strategies in the European power system applying stochastic dominance constraints," Energy Economics, Elsevier, vol. 101(C).
    2. Domínguez, Ruth & Carrión, Miguel & Vitali, Sebastiano, 2024. "Investments in transmission lines and storage units considering second-order stochastic dominance constraints," Energy Economics, Elsevier, vol. 134(C).
    3. Jamshidi, Movahed & Kebriaei, Hamed & Sheikh-El-Eslami, Mohammad-Kazem, 2018. "An interval-based stochastic dominance approach for decision making in forward contracts of electricity market," Energy, Elsevier, vol. 158(C), pages 383-395.
    4. repec:ehu:biltok:14745 is not listed on IDEAS
    5. 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.
    6. 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.
    7. Alonso-Ayuso, Antonio & Carvallo, Felipe & Escudero, Laureano F. & Guignard, Monique & Pi, Jiaxing & Puranmalka, Raghav & Weintraub, Andrés, 2014. "Medium range optimization of copper extraction planning under uncertainty in future copper prices," European Journal of Operational Research, Elsevier, vol. 233(3), pages 711-726.
    8. Escudero, Laureano F. & Garín, María Araceli & Merino, María & Pérez, Gloria, 2016. "On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs," European Journal of Operational Research, Elsevier, vol. 249(1), pages 164-176.
    9. Maria Teresa Vespucci & Marida Bertocchi & Laureano F. Escudero & Stefano Zigrino, 2013. "A risk averse stochastic optimization model for power generation capacity expansion," Working Papers (2013-) 1305_qum, University of Bergamo, Department of Management, Economics and Quantitative Methods.

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