caa a22 4500 445878096 CHVBK 20180317145533.0 cr unu---uuuuu 170323e20110301xx s 000 0 eng 10.1007/s11081-010-9127-x doi (NATIONALLICENCE)springer-10.1007/s11081-010-9127-x Optimization of real asset portfolio using a coherent risk measure: application to oil and energy industries [Elektronische Daten] [Sergio Bruno, Claudia Sagastizábal] We consider the problem of optimally determining an investment portfolio for an energy company owning a network of gas pipelines, and in charge of purchasing, selling and distributing gas. We propose a two stage stochastic investment model which hedges risk by means of Conditional Value at Risk constraints. The model, solved by a decomposition method, is assessed on a real-life case, of a Brazilian integrated company that operates on the oil, gas, and energy sectors. Springer Science+Business Media, LLC, 2010 Portfolio optimization nationallicence Real assets nationallicence CVaR nationallicence Decomposition methods nationallicence Bruno Sergio Petrobras, Rio de Janeiro, Brazil aut Sagastizábal Claudia CEPEL, Electric Energy Research Center, Eletrobrás Group, Rio de Janeiro, Brazil aut Optimization and Engineering Springer US; http://www.springer-ny.com 12/1-2(2011-03-01), 257-275 1389-4420 12:1-2<257 2011 12 11081 https://doi.org/10.1007/s11081-010-9127-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11081-010-9127-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Bruno Sergio Petrobras, Rio de Janeiro, Brazil aut NATIONALLICENCE 700 1- Sagastizábal Claudia CEPEL, Electric Energy Research Center, Eletrobrás Group, Rio de Janeiro, Brazil aut NATIONALLICENCE 773 0- Optimization and Engineering Springer US; http://www.springer-ny.com 12/1-2(2011-03-01), 257-275 1389-4420 12:1-2<257 2011 12 11081 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer