论文标题
电力市场的天气和价格风险的静态对冲
Static Hedging of Weather and Price Risks in Electricity Markets
论文作者
论文摘要
我们使用基于电力价格和天气指数的金融工具提出了对冲价格和数量风险问题的封闭式解决方案。我们的模型考虑了在受监管的电力市场中中介的急诊室。 ERS以可变成本购买固定数量的电力，并且必须以固定成本满足可变需求。因此，ERS受到价格和数量风险的约束。为了对冲这种风险，ER可以根据价格和天气指数来构建金融工具的投资组合。我们在离散设置中为均值模型的最佳投资组合构建了封闭的形式解决方案。我们的模型没有做出任何分布假设。
We present the closed-form solution to the problem of hedging price and quantity risks for energy retailers (ER), using financial instruments based on electricity price and weather indexes. Our model considers an ER who is intermediary in a regulated electricity market. ERs buy a fixed quantity of electricity at a variable cost and must serve a variable demand at a fixed cost. Thus ERs are subject to both price and quantity risks. To hedge such risks, an ER could construct a portfolio of financial instruments based on price and weather indexes. We construct the closed form solution for the optimal portfolio for the mean-Var model in the discrete setting. Our model does not make any distributional assumption.
