Optimization of real asset portfolio using a coherent risk measure: application to oil and energy industries

Optimization of real asset portfolio using a coherent risk measure: application to oil and energy industries

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Article ID: iaor20113416
Volume: 12
Issue: 1
Start Page Number: 257
End Page Number: 275
Publication Date: Mar 2011
Journal: Optimization and Engineering
Authors: ,
Keywords: energy
Abstract:

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.

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