2022
- Risk-Averse Bargaining in a Stochastic Optimization Context. Manufacturing & Service Operations Management, 2022 mehr… BibTeX Volltext ( DOI )
- The Value of Coordination in Multimarket Bidding of Grid Energy Storage. Operations Research, 2022 mehr… BibTeX Volltext ( DOI )
2021
- How much smart charging is smart? Applied Energy 291, 2021 mehr… BibTeX Volltext ( DOI )
- Liquidity costs on intraday power markets: Continuous trading versus auctions. Energy Policy 154, 2021, 112299 mehr… BibTeX Volltext ( DOI )
- Gas storage valuation in incomplete markets. European Journal of Operational Research 288 (1), 2021, 318-330 mehr… BibTeX Volltext ( DOI )
- Renewable auctions: Bidding for real options. European Journal of Operational Research 291 (3), 2021, 1091-1105 mehr… BibTeX Volltext ( DOI )
- Economies of Scope for Electricity Storage and Variable Renewables. IEEE Transaction on Power Systems 36 (2), 2021, 1328-1337 mehr… BibTeX Volltext ( DOI )
- Envelope Theorems for Multi-Stage Linear Stochastic Optimization. Operations Research 69 (5), 2021 mehr… BibTeX Volltext ( DOI )
2020
- A stability result for linear Markovian stochastic optimization problems. Mathematical Programming, 2020 mehr… BibTeX Volltext ( DOI )
- Special Issue: On the interface between optimization and probability. Mathematical Programming 181 (2), 2020, 225-228 mehr… BibTeX Volltext ( DOI )
- Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity. European Journal of Operational Research 280 (2), 2020, 639-655 mehr… BibTeX Volltext ( DOI )
2018
- Risk-optimized pooling of intermittent renewable energy sources. Journal of Banking & Finance 95, 2018, 217-230 mehr… BibTeX Volltext ( DOI )
2017
- How Do Contract Parameters Influence the Economics of Vehicle-to-Grid? Manufacturing & Service Operations Management 19 (1), 2017, 150-164 mehr… BibTeX Volltext ( DOI )
- An equilibrium pricing model for wind power futures. Energy Economics 65, 2017, 64-74 mehr… BibTeX Volltext ( DOI )
2015
- The Effect of Intermittent Renewables on the Electricity Price Variance. OR Spectrum, 2015 mehr… BibTeX Volltext ( DOI )
2014
- A semiparametric model for electricity spot prices. IIE Transactions 46 (4), 2014, 344-356 mehr… BibTeX Volltext ( DOI )
- Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach. Operations Research 62, 2014, 1302-1315 mehr… BibTeX Volltext ( DOI )
2013
- Measuring competitiveness of the EPEX spot market for electricity. Energy Policy 62 (November), 2013, 948-958 mehr… BibTeX Volltext ( DOI )
- Optimizing Trading Decisions for Hydro Storage Systems using Approximate Dual Dynamic Programming. Operations Research 61 (4), 2013, 810-823 mehr… BibTeX Volltext ( DOI )
2012
- The 1/N investment strategy is optimal under high model ambiguity. Journal of Banking & Finance 36, 2012, 410-417 mehr… BibTeX Volltext ( DOI )
- A Coupled Markov Chain Approach to Credit Risk Modeling. Journal of Economic Dynamics and Control 36 (3), 2012, 403-415 mehr… BibTeX Volltext ( DOI )
- A framework for optimization under ambiguity. Annals of Operations Research 193 (1), 2012, 21-47 mehr… BibTeX Volltext ( DOI )
2010
- A multi-stage stochastic programming model for managing risk-optimal electricity portfolios. Energy Systems, 2010, 383-404 mehr… BibTeX Volltext ( DOI )
- Value-at-Risk optimization using the difference of convex algorithm. OR Spectrum 34 (4), 2010, 861-883 mehr… BibTeX Volltext ( DOI )
- A D.C. Formulation of Value-at-Risk constrained Optimization. Optimization 59 (3), 2010, 377-400 mehr… BibTeX Volltext ( DOI )
2009
- Discussion of "The evolution of web-based optimisation: From ASP to e-Services". Decision Support Systems 47 (1), 2009, 72-73 mehr… BibTeX Volltext ( DOI )
- Asymptotic Consistency of Risk Functionals. Journal of Non-Parametric Statistics 21 (8), 2009, 977-990 mehr… BibTeX Volltext ( DOI )
2007
- Ambiguity in portfolio selection. Quantitative Finance 7 (4), 2007, 435-442 mehr… BibTeX Volltext ( DOI )