Building the Optimal Contract Portfolio under Non-Probabilistic Uncertainties

Abstract

This paper proposes an integrated solution to the optimum portfolio building considering price and demand uncertainties. More than simply assessing risks, the proposed approach opens the possibility of a real and effective risk management, including maximum risk levels as optimization constraints. The resulting model corresponds to a stochastic non-linear integer programming problem and is solved by a customized algorithm, designed for efficiency and reliability. Possible extensions (targeting special markets customization) are straightforward and may be easily taken into account.