Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective
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- Nils Löhndorf & David Wozabal & Stefan Minner, 2013. "Optimizing Trading Decisions for Hydro Storage Systems Using Approximate Dual Dynamic Programming," Operations Research, INFORMS, vol. 61(4), pages 810-823, August.
- Blomvall, Jorgen & Lindberg, Per Olov, 2002. "A Riccati-based primal interior point solver for multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 143(2), pages 452-461, December.
- Blomvall, Jorgen & Lindberg, Per Olov, 2003. "Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1099-1112, April.
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Cited by:
- Marco Piccirilli & Tiziano Vargiolu, 2018. "Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes," Papers 1807.01979, arXiv.org.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2015-08-30 (Computational Economics)
- NEP-ENE-2015-08-30 (Energy Economics)
- NEP-GER-2015-08-30 (German Papers)
- NEP-UPT-2015-08-30 (Utility Models and Prospect Theory)
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