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Application of CVaR risk aversion approach in the expansion and operation planning and for setting the spot price in the Brazilian hydrothermal interconnected system.

Maria Elvira Piñeiro MaceiraL. G. B. MarzanoDébora Dias Jardim PennaAndre L. Diniz Souto LimaT. C. Justino
Published in: PSCC (2014)
Keyphrases
  • risk aversion
  • risk averse
  • risk neutral
  • utility function
  • markov chain
  • mathematical programming