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

Research

Working Papers

  • Löhndorf, N., Wozabal, D.: Indifference pricing of natural gas storage contracts. , Hrsg.: Optimization Online: 2017, 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 )

Courses

Short CV


Education
04/2012Habilitation,(Business Administration),
University of Vienna.
2005–2008Ph.D. in Statistics,
University of Vienna.
1997–2001Masters in Business,Informatics,
University of Vienna.

Career
CurrentChair for Investment, Finance and Risk Management in Energy Markets,
Technische Universität München, TUM School of Management.
2013Visiting professorship (temporary cover position),
Technische Universität München,TUM School of Management.
2010–2013Project Partner, Energy Policies and Risk Management for the 21st Century. Project funded by the WWTF (Mathematic und ... call 2009).
2009–2012Post-Doc, Department of Business Administration,
University of Vienna.
Since 2002Lecturer, Department of Statistics and Decision Support Systems,
University of Vienna.
2007–2009Research Associate, Models for valuating credit portfolios using coupled Markov chains, funded by the OeNB Jubiläumsfonds.
2007Research Associate, Simulation based stochastic Optimisation Methods for Risk Management in Liberalized Energy Markets, funded by the WienerWissenschafts-, Forschungs- und Technologiefonds.
2003–2007Research Associate, AURORA Project (Advanced Models, Applications and Software for High Performance Computing), funded by the Austrian Fonds zur Förderung der wissenschaftlichen Forschung.