Financial and operational decisions in the electricity sector: Contract portfolio optimization with the conditional value-at-risk criterion

International Journal of Production Economics

Volumn 134, Issue 1, 2011, Pages 67-77

  Yau, Sheena ^a   Kwon, Roy H ^a   Scott Rogers, J ^a   Wu, Desheng ^b  

^a UNIVERSITY OF TORONTO   (Canada)

^b REYKJAVIK UNIVERSITY   (Iceland)

Author keywords

Conditional value at risk; Energy contracts; Risk management; Stochastic programming

Indexed keywords

COMPUTATIONAL RESULTS; CONDITIONAL VALUE-AT-RISK; ELECTRICITY CONTRACTS; ELECTRICITY MARKET; ELECTRICITY SECTOR; END USERS; ENERGY CONTRACTS; EXPECTED COSTS; FINANCIAL DECISIONS; MIXED-INTEGER PROGRAMMING; OPERATIONAL DECISIONS; PORTFOLIO OPTIMIZATION; PROCUREMENT STRATEGY; RISK AVERSION; SPOT PRICE; TWO STAGE;

COMPUTER PROGRAMMING; COSTS; ELECTRICITY; FINANCIAL DATA PROCESSING; INTERNET PROTOCOLS; OPTIMIZATION; RISK MANAGEMENT; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; VALUE ENGINEERING;

INTEGER PROGRAMMING;

EID: 80052375546     PISSN: 09255273     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijpe.2010.10.007     Document Type: Article

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