Article ID: | iaor20113416 |
Volume: | 12 |
Issue: | 1 |
Start Page Number: | 257 |
End Page Number: | 275 |
Publication Date: | Mar 2011 |
Journal: | Optimization and Engineering |
Authors: | Sagastizbal Claudia, Bruno Barros |
Keywords: | energy |
We consider the problem of optimally determining an investment portfolio for an energy company owning a network of gas pipelines, and in charge of purchasing, selling and distributing gas. We propose a two stage stochastic investment model which hedges risk by means of Conditional Value at Risk constraints. The model, solved by a decomposition method, is assessed on a real‐life case, of a Brazilian integrated company that operates on the oil, gas, and energy sectors.