Persönlicher Status und Werkzeuge

Prof. Dr. David Wozabal

Contact Details

Business card at TUMonline

Academic Career and Research Areas

The research of Professor Wozabal (b. 1979) deals with the development of algorithms for stochastic optimization problems, risk measurement and risk management. The theoretical results of this research are applied to planning problems in energy management and classic problems in finance such as portfolio optimization. Another aspect of his research focuses on the structural problems of the European energy markets with particular regard to electricity markets. A major part of this work involves modeling price processes and examining the efficiency of electricity markets.
Professor Wozabal studied business information systems and mathematics and obtained his doctoral degree in statistics from the University of Vienna in 2008. After acquiring his postdoctoral teaching qualification (habilitation) in business administration at the University of Vienna (2012) he held a year-long visiting professorship at TUM (2012) and a short-term research post at Vienna University of Economics and Business (WU). In 2014 Professor Wozabal was given a faculty appointment in TUM’s newly established Center for Energy Markets.

    Awards

    • OeGOR (Austrian Society of Operations Research) PhD Prize (2009)

    Key Publications

    Graf C, Wozabal D: “Measuring competitiveness of the EPEX spot market for electricity”. Energy Policy. 2013; 62(11): 948-958.

    Löhndorf N, Wozabal D, Minner S: “Optimal Bidding of Electricity Storage using Approximate Dynamic Programming”. Operations Research. 2013; 61(4): 810-823.

    Wozabal D, Hochreiter R: “A Coupled Markov Chain Approach to Credit Risk Modeling”. Journal of Economic Dynamics and Control. 2012; 36(3): 403-415.

    Pflug G, Pichler A, Wozabal D: “The 1/N investment strategy is optimal under high model ambiguity”. Journal of Banking & Finance. 2012; 36(2): 410-417.

    Pflug G, Wozabal D: “Ambiguity in portfolio selection”. Quantitative Finance. 2007; 7(4): 435-442.