Multivariate EMD-based Portfolio Value at Risk Estimate for Electricity Markets.
Hongqian WangKaijian HeKin Keung LaiPublished in: BIFE (2013)
Keyphrases
- electricity markets
- portfolio management
- agent based simulation
- decision making
- electric power
- portfolio optimization
- distance measure
- competitive market
- risk management
- software agents
- dependence structure
- unit commitment
- investment decisions
- portfolio selection
- profit maximizing
- portfolio theory
- empirical mode decomposition
- wind power
- simulation model
- multi agent systems
- database systems
- case study