IDEAS home Printed from https://ideas.repec.org/f/pko987.html
   My authors  Follow this author

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)

Research output

as
Jump to: Working papers Articles Books

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.

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.
  2. Raimund M. Kovacevic, 2019. "Arbitrage conditions for electricity markets with production and storage," Computational Management Science, Springer, vol. 16(4), pages 671-696, October.
  3. 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.
  4. 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.
  5. 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.
  6. Raimund M. Kovacevic & Georg Ch Pflug, 2014. "Are Time Consistent Valuations Information Monotone?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1-33.
  7. Raimund Kovacevic & David Wozabal, 2014. "A semiparametric model for electricity spot prices," IISE Transactions, Taylor & Francis Journals, vol. 46(4), pages 344-356.
  8. 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.
  9. 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.

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, March.
  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, March.

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. 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.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.

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. Sarah Parlane & L. (Lisa B.) Ryan, 2019. "Optimal Contracts for Renewable Electricity," Working Papers 201920, School of Economics, University College Dublin.
    2. 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. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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. 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.
    3. 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.
    4. 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. 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 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 & 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.
    2. Kuppelwieser, Thomas & Wozabal, David, 2021. "Liquidity costs on intraday power markets: Continuous trading versus auctions," Energy Policy, Elsevier, vol. 154(C).

  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. 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.
    2. 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.

  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. 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.
    2. 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.
    3. Willi Semmler & Stefan Mittnik & Alexander Haider, 2019. "Climate Disaster Risks – Empirics and a Multi-Phase Dynamic Model," IMF Working Papers 2019/145, International Monetary Fund.
    4. 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.
    5. 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.
    6. Elena Kühne, 2020. "Construindo resiliência às mudanças climáticas por meio da proteção social no Brasil: o programa Garantia Safra," Policy Research Brief 70, International Policy Centre for Inclusive Growth.

Books

  1. 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, March.

    Cited by:

    1. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Raimund M. Kovacevic should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.