The objective of this paper is to provide a methodology for pricing, under a generation company (Genco) point of view, long-term energy contracts signed across different price zones in a zonal pricing hydro- based power system where classical Financial Transmission Rights (FTRs) are not...

We consider stochastic optimization problems involving stochastic dominance constraints of first order, also called stochastic ordering constraints. They are equivalent to a continuum of probabilistic constraints or chance constraints. We develop first order necessary and sufficient conditions...

This paper shows that a flaw exists in the logic behind the previously stated theoretical connections between utility theory and moment preferences. In fact, no such relationship exists. There is also a flaw in the logic that postulates that approximate normality can justify moment (e.g.,...

We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for...