Electric Company Portfolio Optimization Under Interval Stochastic Dominance Constraints
نویسندگان
چکیده
This paper addresses the problem of market risk management for a company in the electricity industry. When dealing with corporate volumetric exposure, there is a need for a methodology that helps to manage the aggregate risks in energy markets. The originality of the approach presented lies in the use of intervals to formulate a specific portfolio optimization problem under stochastic dominance constraints.
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