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 nonlinear 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.