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- W2145284823 abstract "In competitive wholesale electricity markets, regulated load-serving entities (LSEs) and marketers with default service contracts have obligations to serve fluctuating load at predetermined fixed prices while meeting their obligation through combinations of long-term contracts, wholesale purchases, and self-generation that are subject to volatile prices or opportunity cost. Hence, their net profits are exposed to joint price and quantity risk, both of which are correlated with weather variations. In this paper, we develop a static hedging strategy for the LSE (or marketer) whose objective is to minimize a mean-variance utility function over net profit, subject to a self-financing constraint. Because quantity risk is nontraded, the hedge consists of a portfolio of price-based financial energy instruments, including a bond, forward contract, and a spectrum of European call and put options with various strike prices. The optimal hedging strategy is jointly optimized with respect to contracting time and the portfolio mix, which varies with contract timing, under specific price and quantity dynamics and the assumption that the hedging portfolio, which matures at the time of physical energy delivery, is purchased at a single point in time. Explicit analytical results are derived for the special case where price and quantity follow correlated Ito processes." @default.
- W2145284823 created "2016-06-24" @default.
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- W2145284823 date "2010-03-01" @default.
- W2145284823 modified "2023-09-27" @default.
- W2145284823 title "Optimal Static Hedging of Volumetric Risk in a Competitive Wholesale Electricity Market" @default.
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- W2145284823 doi "https://doi.org/10.1287/deca.1090.0167" @default.
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