Portfolio Optimization of Hydroelectric Assets Subject to Financial Indicators

@article{Iliadis2007PortfolioOO,
  title={Portfolio Optimization of Hydroelectric Assets Subject to Financial Indicators},
  author={N. A. Iliadis and M. V. F. Pereira and S{\'e}rgio Granville and R. M. Chabar and L. Barroso},
  journal={2007 IEEE Power Engineering Society General Meeting},
  year={2007},
  pages={1-8}
}
The objective of this article is to present a benchmarking of financial indicators implemented in hydroelectric stochastic risk management models. We present three model formulations using a tree approach for hydroelectric optimization using three procedures for financial risk control: minimum revenues (Rmin), value-at-risk (VaR) and conditional VaR (CVaR). According to their properties and their formulation in each model we compare them theoretically based on two criteria: their adequacy for… CONTINUE READING

Figures and Tables from this paper.

Citations

Publications citing this paper.

References

Publications referenced by this paper.
SHOWING 1-10 OF 13 REFERENCES

Long-term Hydro Scheduling Based on Stochastic Models

M.V.F Pereira, N. M. Campodónico, R. Kelman
  • Proceedings of EPSOM Conference,
  • 1998
VIEW 10 EXCERPTS
HIGHLY INFLUENTIAL

Optimisation of hydropower operation in a liberalised market with focus on price modelling

B. Mo, A. Gjelsvik, A. Grundt, K. Karesen
  • 2001 IEEE Porto Power Tech Proceedings (Cat. No.01EX502)
  • 2001
VIEW 1 EXCERPT

Conditional value-at-risk: optimization algorithms and applications

  • Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)
  • 2000
VIEW 1 EXCERPT