Polyhedral Risk Measures and Lagrangian Relaxation in Electricity Portfolio Optimization.
Andreas EichhornWerner RömischIsabel WegnerPublished in: Algorithms for Optimization with Incomplete Information (2005)
Keyphrases
- lagrangian relaxation
- risk measures
- portfolio optimization
- feasible solution
- integer programming
- np hard
- lower bound
- portfolio selection
- branch and bound algorithm
- robust optimization
- factor analysis
- linear programming
- portfolio management
- dynamic programming
- convex hull
- problems involving
- stock market
- risk management
- short term
- stock exchange
- optimization methods
- bi objective
- shortest path
- stock price
- objective function
- tabu search
- upper bound
- probability distribution
- special case
- long term
- scheduling problem
- search algorithm