Optimization of Real Asset Portfolio using a Coherent Risk Measure: Application to Oil and Energy Industries
نویسنده
چکیده
We consider the problem of optimally determining an investment portfolio for an energy company owning a network of gas pipelines, and in charge of purchasing, selling and distributing gas. We propose a two stage stochastic investment model which hedges risk by means of Conditional Value at Risk constraints. The model, solved by a decomposition method, is assessed on a real-life case, of a Brazilian integrated company that operates on the oil, gas and energy sectors.
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