Towards optimal investment portfolio management wih hierarhical contol for energy markets

Abstract

As a consequence of the new trends given by the smart grids, the network electricity infrastructure will change, and with this changes, the energy markets will have more variables and complexity. So new portfolio management strategies are needled. In this paper an optimal investment portfolio management strategy is proposed, based on Model Predictive Control and Hierarchical Control techniques, used to solve the multi period problem used to optimize an investment protfolio.