This paper addresses the problem of market risk management for a company in the electricity industry. When dealing with corporate volumetric exposure, there is a need for a methodology that helps to manage the aggregate risks in energy markets. The originality of the approach presented lies in the use of intervals to formulate a specific portfolio optimization problem under stochastic dominance constraints.
Keywords. Portfolio Optimization, Risk Analysis, Stochastic Dominance
Paper Download
The paper is availabe in the following formats:
Authors addresses:
Dan Berleant
Dept. of Electrical and Computer Engineering
Iowa State University
3215 Coover Hall
50011 Ames, Iowa
USA
Mathieu Dancre
EDF R&D OSIRIS
Bur. B-336,
1, av du Général de Gaulle
F-92141 Clamart cedex
Jean-Philippe Argaud
EDF R&D OSIRIS
1 avenue du Général de Gaulle
F-92141 CLAMART Cedex
France
Gerald Sheble
2215 Coover Hall
Ames, Iowa 50011
E-mail addresses:
| Dan Berleant | berleant@iastate.edu |
| Mathieu Dancre | mathieu.dancre@edf.fr |
| Jean-Philippe Argaud | jean-philippe.argaud@edf.fr |
| Gerald Sheble | gsheble@iastate.edu |