Electric Company Portfolio Optimization Under Interval Stochastic Dominance Constraints

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.

• Type: Conference
• Year: 2005
• Where: ISIPTA
• Authors: Daniel Berleant, Mathieu Dancre, Jean-Philippe Argaud, Gerald B. Sheblé
• Keywords: ISIPTA 2005, Mathematics, Portfolio Optimization, Stochastic Dominance, Stochastic Dominance Constraints