Prof. Dr. David Wozabal

Chair for Investment, Finance and Risk Management in Energy Markets

Tel.: +49 (0) 89 289-25479
E-Mail: David.Wozabal@tum.de
Office: 3535 (Building 5, 3rd floor)

E-Mail (office)henriett.kakonyi@tum.de

Interests: Stochastic Optimization, Modelling of Energy Prices, Energy Trading, Risk Measurement and Management

Research

Working Papers

  • Matthäus, D.; Schwenen, S.; Wozabal, D.: Renewable Auctions – A Real Options Approach. Submitted to Manufacturing & Service Operations Management (under review), 2019 mehr… BibTeX
  • Löhndorf, N., Wozabal, D.: Indifference pricing of natural gas storage contracts. Submitted to the European Journal of Operational Research (Revise & Resubmit), 0000, mehr… BibTeX
  • Gutjahr, W.; Kovacevic, R.; Wozabal, D.: Splitting a Random Pie: Nash-Type Bargaining for Risk Averse Agents. Submitted to Operations Research, 0000 mehr… BibTeX
  • Kiszka, A.; Wozabal, D.: A Stability Result for Linear Markov Decision Processes. Submitted to Mathematical Programming, Series A (Revise \& Resubmit), 0000 mehr… BibTeX
  • Kuppelwieser, T.; Wozabal, D.: Liquidity Costs on Intraday Power Markets: Continuous Trading versus Auctions. Working Paper, 0000 mehr… BibTeX
  • Löhndorf, N.; Wozabal, D.: The Value of Coordination in Multimarket Bidding of Grid Energy Storage. Submitted to Management Science, 0000 mehr… BibTeX
  • Löhndorf, N.; Wozabal, D.: A Second-Order Gradient Descent Algorithm for the Discretization of Markov Processes in Stochastic Optimization. Working Paper, 0000 mehr… BibTeX
  • Terça, G.; Wozabal, D.: Envelope Theorems for Multi-Stage Linear Stochastic Optimization. Submitted to Operations Research (Revise \& Resubmit, 2nd Revision), 0000 mehr… BibTeX
  • Terça, G.; Wozabal, D.: Economies of Scope for Electricity Storage and Variable Renewables. Submitted to IEEE Transaction on Power Systems, 0000 mehr… BibTeX

Refereed Journal Articles

2020

  • Wozabal, David; Rameseder, Gunther: Optimal bidding of a virtual power plant on the Spanish day-ahead and intraday market for electricity. European Journal of Operational Research 280 (2), 2020, 639-655 mehr… BibTeX Volltext ( DOI )

2018

  • Gersema, Gerke; Wozabal, David: Risk-optimized pooling of intermittent renewable energy sources. Journal of Banking & Finance 95, 2018, 217-230 mehr… BibTeX Volltext ( DOI )

2017

  • Broneske, Gerald; Wozabal, David: How Do Contract Parameters Influence the Economics of Vehicle-to-Grid? Manufacturing & Service Operations Management 19 (1), 2017, 150-164 mehr… BibTeX Volltext ( DOI )
  • Gersema, Gerke; Wozabal, David: An equilibrium pricing model for wind power futures. Energy Economics 65, 2017, 64-74 mehr… BibTeX Volltext ( DOI )

2015

  • Wozabal, David; Graf, Christoph; Hirschmann, David: The Effect of Intermittent Renewables on the Electricity Price Variance. OR Spectrum, 2015 mehr… BibTeX Volltext ( DOI )

2014

  • Kovacevic, R.; Wozabal, D.: A semiparametric model for electricity spot prices. IIE Transactions 46 (4), 2014, 344-356 mehr… BibTeX Volltext ( DOI )
  • Wozabal, David: Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach. Operations Research 62, 2014, 1302-1315 mehr… BibTeX Volltext ( DOI )

2013

  • Graf, C.; Wozabal, D.: Measuring competitiveness of the EPEX spot market for electricity. Energy Policy 62 (November), 2013, 948-958 mehr… BibTeX Volltext ( DOI )
  • Löhndorf, N.; Wozabal, D.; Minner, S.: Optimizing Trading Decisions for Hydro Storage Systems using Approximate Dual Dynamic Programming. Operations Research 61 (4), 2013, 810-823 mehr… BibTeX Volltext ( DOI )

2012

  • Pflug, Georg Ch.; Pichler, Alois; Wozabal, David: The 1/N investment strategy is optimal under high model ambiguity. Journal of Banking & Finance 36, 2012, 410-417 mehr… BibTeX Volltext ( DOI )
  • Wozabal, D.; Hochreiter, R.: A Coupled Markov Chain Approach to Credit Risk Modeling. Journal of Economic Dynamics and Control 36 (3), 2012, 403-415 mehr… BibTeX Volltext ( DOI )
  • Wozabal, David: A framework for optimization under ambiguity. Annals of Operations Research 193 (1), 2012, 21-47 mehr… BibTeX Volltext ( DOI )

2010

  • Hochreiter, R.; Wozabal, D.: A multi-stage stochastic programming model for managing risk-optimal electricity portfolios. Energy Systems, 2010, 383-404 mehr… BibTeX Volltext ( DOI )
  • Wozabal, D.: Value-at-Risk optimization using the difference of convex algorithm. OR Spectrum 34 (4), 2010, 861-883 mehr… BibTeX Volltext ( DOI )
  • Wozabal, D.; Hochreiter, R.; Pflug, G.: A D.C. Formulation of Value-at-Risk constrained Optimization. Optimization 59 (3), 2010, 377-400 mehr… BibTeX Volltext ( DOI )

2009

  • Hochreiter, R.; Wiesinger, C.; Wozabal, D.: Discussion of "The evolution of web-based optimisation: From ASP to e-Services". Decision Support Systems 47 (1), 2009, 72-73 mehr… BibTeX Volltext ( DOI )
  • Wozabal, D.; Wozabal, N.: Asymptotic Consistency of Risk Functionals. Journal of Non-Parametric Statistics 21 (8), 2009, 977-990 mehr… BibTeX Volltext ( DOI )

2007

Conference Proceedings

2009

  • Hochreiter, R.; Wozabal, D.: Evolutionary approaches for estimating a Coupled Markov Chain model for Credit Portfolio Risk Management. Springer Lecture Notes in Computer Science, Applications of Evolutionary Computing, EvoWorkshops 2009 5488, 2009, 193--202 mehr… BibTeX Volltext ( DOI )

2006

  • Hochreiter, R.; Pflug, G. Ch.; Wozabal, D.: Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. Springer IFIP International Federation for Information Processing Series, System Modeling and Optimization (199), 2006, 219-226 mehr… BibTeX Volltext ( DOI )

2005

  • Hochreiter, R.; Wiesinger, C.; Wozabal, D.: Large-Scale Computational Finance Applications on the Open Grid Service Environment. Springer Lecture Notes in Computer Science, European Grid Conference 2005 (3470), 2005, 891-899 mehr… BibTeX Volltext ( DOI )

Book/Book Section

2013

  • Wozabal, D.; Graf, G.; Hirschmann, D.: Renewable Energy and its Impact on Power Markets. In: Kovacevic, Raimund M.; Pflug, Georg Ch.; Vespucci, Maria Teresa (Hrsg.): Handbook of Risk Management in Energy Production and Trading. Springer, 2013, 283-311 mehr… BibTeX Volltext ( DOI )