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Optimisation stochastique sous contrainte de risque et fonctions d'utilité

Babacar Seck
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.
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https://pastel.archives-ouvertes.fr/pastel-00004576
Contributor : Ecole Des Ponts Paristech <>
Submitted on : Monday, January 19, 2009 - 8:00:00 AM
Last modification on : Monday, January 19, 2009 - 8:00:00 AM
Long-term archiving on: : Friday, September 10, 2010 - 1:17:37 PM

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  • HAL Id : pastel-00004576, version 1

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Babacar Seck. Optimisation stochastique sous contrainte de risque et fonctions d'utilité. Mathematics [math]. Ecole des Ponts ParisTech, 2008. English. ⟨pastel-00004576⟩

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