generation under consideration of risk. We include a reserve market, a day-ahead market and an intraday market in stochastic … modeling and develop a multi-stage stochastic Mixed Integer Linear Program. We assess the profitability as well as the risk … exposure, quantified by the conditional value at risk metric, of trading strategies following different risk preferences. We …

investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … optimization problem with rebalancing in a more time-efficient way when coherent risk measures are used. Artzner et al. (1999 …) outlined a set of mathematical properties for a risk measure that reflect the interests of risk-averse investors. Furthermore …