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Introduction to convex optimization in financial markets

✍ Scribed by Teemu Pennanen


Book ID
111950400
Publisher
Springer-Verlag
Year
2012
Tongue
English
Weight
349 KB
Volume
134
Category
Article
ISSN
0025-5610

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πŸ“œ SIMILAR VOLUMES


Financial transmission rights in convex
✍ Andy Philpott; Geoffrey Pritchard πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 180 KB

This paper studies ΓΏnancial transmission rights in electricity pool markets with nodal pricing. We prove that simultaneous feasibility entails revenue adequacy in a general framework of convex optimization, and show by counterexample as to how this result might fail in the absence of convexity.