Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: A mixed-integer multistage stochastic model and a moving-horizon approach

• Published in: European journal of operational research Vol. 290; no. 2; pp. 734 - 748
• Main Authors: Gatzert, Nadine, Martin, Alexander, Schmidt, Martin, Seith, Benjamin, Vogl, Nikolai
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 16.04.2021
• Subjects: Irreversible investments; Mixed-integer optimization; Multistage stochastic optimization; Policy risk; Portfolio optimization; Portfolio optimization; 90Bxx; Multistage stochastic optimization; Irreversible investments; 90C11; Policy risk; 90C06; 90C90; 90C15; Mixed-integer optimization

•We present a mixed-integer multistage stochastic model that includes investment opportunities in illiquid and long-term infrastructure projects in the context of renewable energies, which are also subject to policy risk.•We present a tailored moving-horizon approach together with suitable approxima...