TY - GEN A1 - Eichhorn, Andreas A1 - Gröwe-Kuska, Nicole A1 - Liebscher, Andrea A1 - Römisch, Werner A1 - Wegner, Isabel T1 - Mean-risk optimization of electricity portfolios N2 - We present a mathematical model with stochastic input data for mean-risk optimization of electricity portfolios containing several physical components and energy derivative products. The model is designed for a medium term optimization horizon of one year in hourly discretization. With the objective of maximization of the mean book value of the portfolio at the end of optimization horizon simultaneously several risk measures are taken into account. We present numerical results for a largescale realistic problem adapted to a municipal utility and study the effects of varying weighting of risk on the book value of the portfolio during the whole time horizon. Y1 - 2005 UR - https://opus4.kobv.de/opus4-matheon/frontdoor/index/index/docId/216 UR - https://nbn-resolving.org/urn:nbn:de:0296-matheon-2169 ER -