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Polyhedral risk measures in electricity portfolio optimization
Authors:Andreas Eichhorn  Werner Rmisch  Isabel Wegner
Abstract:We compare different multiperiod risk measures taken from the class of polyhedral risk measures with respect to the effect they show when used in the objective of a stochastic program. For this purpose, simulation results of a stochastic programming model for optimizing the electricity portfolio of a German municipal power utility are presented and analyzed. This model aims to minimize risk and expected overall cost simultaneously. (© 2004 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)
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