Seck, Babacar (2008) Optimisation stochastique sous contrainte de risque et fonctions d'utilité. PhD thesis, ENPC p.112.
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Abstract
Liberalization of energy markets and introduction of spot markets may now le ad to consider market risk. We study the possibility to introduce, in the traditional problems of optimization of electrical generation, financial risk constraints. We distinguish "engineers" approach (taking risk into account by risk measures) from "economist" approach (taking risk into account by utility functions). ln Chapter 1 we deal with risk measures and decision models in economic theory. These two points of view of risk are linked in Chapter 2. A numerical application is presented when the risk measure is the Conditional Value-at-Risk. This risk constraint suggest a class of utility functions expressing loss aversion. The equivalent result obtained in Chapter 2 is extended in a dynamic case in Chapter 3. A numerical application of this approach and a dynamic programming under risk constraint method are implemented in Chapter 4 to manage an electrical portfolio subject to Conditional Value-at-Risk constraint.
| Item Type: | PhD Thesis (PhD) |
|---|---|
| PhD Supervisor: | De Lara, Michel |
| Date: | 24 September 2008 |
| Board of examiners: | Chateauneuf, Alain and De Palma, André and Bonnans, Frédéric and Carpentier, Pierre and Andrieu, Laetitia and Delmas, Jean-François and De Lara, Michel |
| Ecole Doctorale: | ED 431 INFORMATION, COMMUNICATION, MODELISATION ET SIMULATION |
| Collection (Fonds): | Ecole des Ponts ParisTech (ENPC) |
| Institution: | ENPC |
| Subjects: | 1. Mathematics and Applications |
| Uncontrolled Keywords: | Mesures de risque, Fonctions d'utilité, Théorie de la nonexpected utility |
| ID Code: | 4576 |
| Deposited By: | Anna Egea |
| Deposited On: | 19 January 2009 |
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