Abstract
In this paper we present the problem faced by an electricity retailer which searches to determine its forward contracting portfolio and the selling prices for its potential clients. This problem is formulated as a two-stage stochastic program including second-order stochastic dominance constraints. The stochastic dominance theory is used in order to reduce the risk suffering from low profits. The resulting deterministic equivalent problem is a mixed-integer linear program which is solved using commercial branch-and-cut software. Numerical results for a realistic case study are reported and relevant conclusions are drawn.
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Carrión, M., Gotzes, U. & Schultz, R. Risk aversion for an electricity retailer with second-order stochastic dominance constraints. Comput Manag Sci 6, 233–250 (2009). https://doi.org/10.1007/s10287-008-0091-2
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DOI: https://doi.org/10.1007/s10287-008-0091-2