Risk-constrained optimal strategy for retailer forward contract portfolio

International Journal of Electrical Power and Energy Systems

Volumn 53, Issue 1, 2013, Pages 704-713

  Ahmadi, Abdollah ^a   Charwand, Mansour ^b   Aghaei, Jamshid ^c  

^a IRAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Iran)

^b TARBIAT MODARES UNIVERSITY   (Iran)

^c SHIRAZ UNIVERSITY OF TECHNOLOGY   (Iran)

Author keywords

Benders decomposition; Financial risk; Forward contract; Retailer; Stochastic programming

Indexed keywords

BENDERS DECOMPOSITION; BENDERS DECOMPOSITION ALGORITHM; DETERMINISTIC EQUIVALENTS; FINANCIAL RISKS; FORWARD CONTRACT; LATTICE MONTE CARLO SIMULATIONS; RETAILER; STOCHASTIC OPTIMIZATION PROBLEMS;

COSTS; ELECTRICITY; INTEGER PROGRAMMING; MONTE CARLO METHODS; OPTIMIZATION; STOCHASTIC PROGRAMMING; STOCHASTIC SYSTEMS;

SALES;

EID: 84879297239     PISSN: 01420615     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijepes.2013.05.051     Document Type: Article

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