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- W4300298997 abstract "In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy depends on a risk criterion chosen. We present an algorithm to hedge a position for a mean variance criterion taking into account the transaction cost and the small depth of the market. We show its effectiveness on a typical problem coming from the field of electricity markets." @default.
- W4300298997 created "2022-10-03" @default.
- W4300298997 creator A5000513018 @default.
- W4300298997 date "2017-11-10" @default.
- W4300298997 modified "2023-09-28" @default.
- W4300298997 title "Variance optimal hedging with application to Electricity markets" @default.
- W4300298997 doi "https://doi.org/10.48550/arxiv.1711.03733" @default.
- W4300298997 hasPublicationYear "2017" @default.
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