Please wait, while we are loading the content...
Please wait, while we are loading the content...
Content Provider | IEEE Xplore Digital Library |
---|---|
Author | Cheong, M.-P. Sheble, G.B. Berleant, D. Teoh, C.-C. Argaud, J.-P. Dancre, M. Andrieu, L. Barjon, F. |
Copyright Year | 2007 |
Description | Author affiliation: Portland State Univ., Portland, OR (Cheong, M.-P.; Sheble, G.B.) |
Abstract | This paper presents a framework of portfolio optimization for energy markets from an electric energy company's perspective. The objective of this research is to determine the best possible investment plan by combining two potentially conflicting portfolio investment goals. First, given the general characteristics of the generating assets and forecast of market variables, the decision maker selects an efficient set of portfolios by optimizing the expected portfolio return. Secondly, an optimal portfolio is chosen based on company's risk profile. This risk is controlled by guaranteeing that the portfolio model has second-order stochastic dominance (SSD) over the cumulative distribution of a minimum tolerable reference distribution. Decision criteria are then applied to obtain an optimal and robust portfolio. The proposed approach is used to determine the amount of optimal market share value that maximizes the expected value of the profit. This is performed by treating risk as a distribution that represents the minimum expected profit acceptable by the energy company. Results show that different risk profile leads to different optimal portfolio. The optimal portfolio which gives the highest expected profit may not have the best robustness. This approach is also applicable to problems characterized by other sources of epistemic uncertainty besides unknown dependencies. |
Starting Page | 819 |
Ending Page | 824 |
File Size | 412947 |
Page Count | 6 |
File Format | |
ISBN | 9781424421893 |
DOI | 10.1109/PCT.2007.4538421 |
Language | English |
Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
Publisher Date | 2007-07-01 |
Publisher Place | Switzerland |
Access Restriction | Subscribed |
Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
Subject Keyword | Stochastic processes Portfolios Uncertainty Investments Robustness Character generation Economic forecasting Electronic mail Finance Power generation economics epistemic uncertainty Portfolio optimization second-order stochastic dominance interval analysis |
Content Type | Text |
Resource Type | Article |
National Digital Library of India (NDLI) is a virtual repository of learning resources which is not just a repository with search/browse facilities but provides a host of services for the learner community. It is sponsored and mentored by Ministry of Education, Government of India, through its National Mission on Education through Information and Communication Technology (NMEICT). Filtered and federated searching is employed to facilitate focused searching so that learners can find the right resource with least effort and in minimum time. NDLI provides user group-specific services such as Examination Preparatory for School and College students and job aspirants. Services for Researchers and general learners are also provided. NDLI is designed to hold content of any language and provides interface support for 10 most widely used Indian languages. It is built to provide support for all academic levels including researchers and life-long learners, all disciplines, all popular forms of access devices and differently-abled learners. It is designed to enable people to learn and prepare from best practices from all over the world and to facilitate researchers to perform inter-linked exploration from multiple sources. It is developed, operated and maintained from Indian Institute of Technology Kharagpur.
Learn more about this project from here.
NDLI is a conglomeration of freely available or institutionally contributed or donated or publisher managed contents. Almost all these contents are hosted and accessed from respective sources. The responsibility for authenticity, relevance, completeness, accuracy, reliability and suitability of these contents rests with the respective organization and NDLI has no responsibility or liability for these. Every effort is made to keep the NDLI portal up and running smoothly unless there are some unavoidable technical issues.
Ministry of Education, through its National Mission on Education through Information and Communication Technology (NMEICT), has sponsored and funded the National Digital Library of India (NDLI) project.
Sl. | Authority | Responsibilities | Communication Details |
---|---|---|---|
1 | Ministry of Education (GoI), Department of Higher Education |
Sanctioning Authority | https://www.education.gov.in/ict-initiatives |
2 | Indian Institute of Technology Kharagpur | Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project | https://www.iitkgp.ac.in |
3 | National Digital Library of India Office, Indian Institute of Technology Kharagpur | The administrative and infrastructural headquarters of the project | Dr. B. Sutradhar bsutra@ndl.gov.in |
4 | Project PI / Joint PI | Principal Investigator and Joint Principal Investigators of the project |
Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon |
5 | Website/Portal (Helpdesk) | Queries regarding NDLI and its services | support@ndl.gov.in |
6 | Contents and Copyright Issues | Queries related to content curation and copyright issues | content@ndl.gov.in |
7 | National Digital Library of India Club (NDLI Club) | Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach | clubsupport@ndl.gov.in |
8 | Digital Preservation Centre (DPC) | Assistance with digitizing and archiving copyright-free printed books | dpc@ndl.gov.in |
9 | IDR Setup or Support | Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops | idr@ndl.gov.in |
Loading...
|