Multi-period VaR-constrained portfolio optimization with applications to the electric power sector
Year of publication: |
2005
|
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Authors: | Kleindorfer, Paul R. ; Li, Lide |
Published in: |
The energy journal. - Boston, Mass. [u.a.] : Oelgeschlager, Gunn & Hain, ISSN 0195-6574, ZDB-ID 864319-2. - Vol. 26.2005, 1, p. 1-26
|
Subject: | Elektrizität | Electricity | Warenbörse | Commodity exchange | Rohstoffderivat | Commodity derivative | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure |
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