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We discuss multiperiod stochastic programming formulations of time-consistent extensions of average value-at-risk (AVaR); AVaR measures the risk of a random financial value. Multi-period risk measures that are recursively defined over time are known to be time consistent. For a multiperiod extension of AVaR for stochastic value processes, we reformulate the(More)
The principal topic is the optimal operation of a hydroelectric pumped storage plant under uncertainty. The uncertainty stems from the water inflow and from the fluctuations of prices at a spot market, on which the electricity is traded. The model of the plant is formulated as a multi-stage stochastic linear programming problem. A coherent and(More)
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