David Wozabal
David Wozabal
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Title
Cited by
Cited by
Year
Ambiguity in portfolio selection
G Pflug, D Wozabal
Quantitative Finance 7 (4), 435-442, 2007
2262007
The 1/N investment strategy is optimal under high model ambiguity
GC Pflug, A Pichler, D Wozabal
Journal of Banking & Finance 36 (2), 410-417, 2012
1942012
Optimizing trading decisions for hydro storage systems using approximate dual dynamic programming
N Löhndorf, D Wozabal, S Minner
Operations Research 61 (4), 810-823, 2013
1392013
A framework for optimization under ambiguity
D Wozabal
Annals of Operations Research 193 (1), 21-47, 2012
852012
The effect of intermittent renewables on the electricity price variance
D Wozabal, C Graf, D Hirschmann
OR spectrum 38 (3), 687-709, 2016
772016
Measuring competitiveness of the EPEX spot market for electricity
C Graf, D Wozabal
Energy Policy 62, 948-958, 2013
552013
Robustifying convex risk measures for linear portfolios: A nonparametric approach
D Wozabal
Operations Research 62 (6), 1302-1315, 2014
542014
Kelly criterion for multivariate portfolios: A model-free approach
V Nekrasov
Available at SSRN 2259133, 2014
42*2014
A difference of convex formulation of value-at-risk constrained optimization
D Wozabal, R Hochreiter, GC Pflug
Optimization 59 (3), 377-400, 2010
392010
An equilibrium pricing model for wind power futures
G Gersema, D Wozabal
Energy Economics 65, 64-74, 2017
302017
Multi-stage stochastic electricity portfolio optimization in liberalized energy markets
R Hochreiter, GC Pflug, D Wozabal
IFIP Conference on System Modeling and Optimization, 219-226, 2005
302005
A coupled Markov chain approach to credit risk modeling
D Wozabal, R Hochreiter
Journal of Economic Dynamics and Control 36 (3), 403-415, 2012
292012
Optimal economic dispatch and risk management of thermal power plants in deregulated markets
M Thompson
Operations Research 61 (4), 791-809, 2013
282013
Gas storage valuation in incomplete markets
N Löhndorf, D Wozabal
European Journal of Operational Research 288 (1), 318-330, 2021
26*2021
Value-at-risk optimization using the difference of convex algorithm
D Wozabal
OR spectrum 34 (4), 861-883, 2012
242012
Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity
D Wozabal, G Rameseder
European Journal of Operational Research 280 (2), 639-655, 2020
232020
How do contract parameters influence the economics of vehicle-to-grid?
G Broneske, D Wozabal
Manufacturing & Service Operations Management 19 (1), 150-164, 2017
232017
Large-scale computational finance applications on the open grid service environment
R Hochreiter, C Wiesinger, D Wozabal
European Grid Conference, 891-899, 2005
132005
A multi-stage stochastic programming model for managing risk-optimal electricity portfolios
R Hochreiter, D Wozabal
Handbook of Power Systems II, 383-404, 2010
92010
A semiparametric model for electricity spot prices
RM Kovacevic, D Wozabal
IIE Transactions 46 (4), 344-356, 2014
82014
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Articles 1–20