Optimal Static Hedging of Energy Price and Volume Risk: Closed-Form Results

As an extension of the VaR-constrained hedging, we propose a closed-form solution to the problem of optimizing portfolios, based on price and weather. For electric power companies, price and quantity are volatile, and in hydro-electricity generation quantity can be related to weather conditions. An...

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Autores:

Pantoja, Javier
Roncoroni, Andrea
Id Brik, Rachid

Tipo de recurso:

Fecha de publicación:

2012

Institución:

Universidad EAFIT

Repositorio:

Repositorio EAFIT

Idioma:

eng

OAI Identifier:

oai:repository.eafit.edu.co:10784/673

Acceso en línea:

http://hdl.handle.net/10784/673

Palabra clave:

Static Hedging
Energy Risk Mitigation
Volumetric Hedging
Incomplete Markets

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