Building the Optimal Contract Portfolio under Non-Probabilistic Uncertainties

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.