Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets.
Simone FarinelliLuisa TibilettiPublished in: OR (2015)
Keyphrases
- stochastic optimization
- portfolio management
- portfolio optimization
- robust optimization
- electricity markets
- sharpe ratio
- portfolio selection
- multistage
- wind power
- financial data
- transaction costs
- short term
- factor analysis
- financial markets
- stock exchange
- long term
- decision making
- power generation
- genetic algorithm
- linear programming