Portfolio optimization with irreversible long-term investments in renewable energy under policy risk : a mixed-integer multistage stochastic model and a moving-horizon approach
Nadine Gatzert, Alexander Martin, Martin Schmidt, Benjamin Seith, Nikolai Vogl
| Year of publication: |
2021
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|---|---|
| Authors: | Gatzert, Nadine ; Martin, Alexander ; Schmidt, Martin ; Seith, Benjamin ; Vogl, Nikolai |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 290.2021, 2 (16.4.), p. 734-748
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| Subject: | Irreversible investments | Mixed-integer optimization | Multistage stochastic optimization | Policy risk | Portfolio optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Erneuerbare Energie | Renewable energy | Dynamische Optimierung | Dynamic programming | Investitionsrisiko | Investment risk | Förderung erneuerbarer Energien | Renewable energy policy |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.08.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012495220