Portfolio Optimization In Electricity Trading With Limited Liquidity
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- Bode, Sven & Groscurth, Helmuth-Michael, 2006. "Zur Wirkung des EEG auf den "Strompreis"," HWWA Discussion Papers 348, Hamburg Institute of International Economics (HWWA).
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- Bastian Felix & Oliver Woll & Christoph Weber, 2009. "Gas Storage Valuation Under Limited Market Liquidity: An Application In Germany," EWL Working Papers 0903, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2009.
- Bastian Felix & Oliver Woll & Christoph Weber, 2013. "Gas storage valuation under limited market liquidity: an application in Germany," The European Journal of Finance, Taylor & Francis Journals, pages 715-733.
- Woll, Oliver, 2015. "Mean-risk hedging strategies in electricity markets with limited liquidity," ZEW Discussion Papers 15-056, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
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Keywordsoptimization; electricity; liquidity; electricity trading; mean-variance-model;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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