Concepedia

Robust portfolio optimization for electricity planning: An application based on the Brazilian electricity mix

O.L.V. Costa, Celma de Oliveira Ribeiro, Erik Eduardo Rego, Julio Michael Stern, Virgínia Parente, Solange Kileber

Energy Economics · 2017 · 44 citations · 24 references

Open access

Concepts

Mathematical ProgrammingPower MarketPortfolio OptimizationEngineeringEnergy ManagementPortfolio SelectionEnergy OptimizationEnergy PolicyManagementPower System OptimizationBrazilian Electricity MixRobust Portfolio OptimizationElectricity PlanningPortfolio AllocationOperations Research

References

24

Portfolio Selection: Efficient Diversification of Investments

Alan Stuart, Harry M. Markowitz · OR · 1959 · 5.6K citations

Portfolio Optimization, Financial Economics, Asset Pricing +7

Theory and Applications of Robust Optimization

DSpace@MIT (Massachusetts Institute of Technology) · 2011 · 2.4K citations · Full text

Mathematical Programming, Data-driven Optimization, Engineering +14

Robust Portfolio Selection Problems

Donald Goldfarb, Garud Iyengar · Mathematics of Operations Research · 2003 · 912 citations

Mathematical Programming, Portfolio Optimization, Engineering +15

Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Laurent El Ghaoui, Maksim Oks, François Oustry · Operations Research · 2003 · 682 citations

Mathematical Programming, Largest Var, Engineering +19

Asset Allocation

Fischer Black, Robert B. Litterman · The Journal of Fixed Income · 1991 · 479 citations