{"id":1229,"date":"2015-07-15T09:27:23","date_gmt":"2015-07-15T07:27:23","guid":{"rendered":"https:\/\/ceem-dauphine.eu\/?p=1229"},"modified":"2024-09-04T09:48:29","modified_gmt":"2024-09-04T07:48:29","slug":"hedging-strategies-in-energy-markets-the-case-of-electricity-retailers-2","status":"publish","type":"post","link":"https:\/\/ceem-dauphine.eu\/en\/hedging-strategies-in-energy-markets-the-case-of-electricity-retailers-2\/","title":{"rendered":"Hedging strategies in energy markets: The case of electricity retailers"},"content":{"rendered":"<p>As market intermediaries, electricity retailers buy electricity from the wholesale market or self-generate for<br \/>\nre(sale) on the retail market. Electricity retailers are uncertain about how much electricity their residential<br \/>\ncustomers will use at any time of the day until they actually turn switches on. While demand uncertainty is a<br \/>\ncommon feature of all commodity markets, retailers generally rely on storage to manage demand uncertainty.<br \/>\nOn electricity markets, retailers are exposed to joint quantity and price risk on an hourly basis given the physical<br \/>\nsingularity of electricity as a commodity. In the literature on electricity markets, few articles deal on intra-day<br \/>\nhedging portfolios to manage joint price and quantity risk whereas electricity markets are hourly markets. The<br \/>\ncontributions of the article are twofold. First, we define through a VaR and CVaR model optimal portfolios for<br \/>\nspecific hours (3 am, 6 am,. . . ,12 pm) based on electricity market data from2001 to 2011 for the French market.<br \/>\nWe prove that the optimal hedging strategy differs depending on the cluster hour. Secondly, we demonstrate<br \/>\nthe significantly superior efficiency of intra-day hedging portfolios over daily (therefore weekly and yearly)<br \/>\nportfolios. Over a decade (2001\u20132011), our results clearly show that the losses of an optimal daily portfolio are<br \/>\nat least nine times higher than the losses of optimal intra-day portfolios<\/p>\n<p>Energy Economics 51 (2015)<\/p>\n","protected":false},"excerpt":{"rendered":"As market intermediaries, electricity retailers buy electricity from the wholesale market or self-generate for re(sale) on the [&hellip;]","protected":false},"author":3,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[13,26],"tags":[],"class_list":["post-1229","post","type-post","status-publish","format-standard","hentry","category-publications-en","category-journal-articles"],"acf":[],"_links":{"self":[{"href":"https:\/\/ceem-dauphine.eu\/en\/wp-json\/wp\/v2\/posts\/1229","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/ceem-dauphine.eu\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/ceem-dauphine.eu\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/ceem-dauphine.eu\/en\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/ceem-dauphine.eu\/en\/wp-json\/wp\/v2\/comments?post=1229"}],"version-history":[{"count":2,"href":"https:\/\/ceem-dauphine.eu\/en\/wp-json\/wp\/v2\/posts\/1229\/revisions"}],"predecessor-version":[{"id":1233,"href":"https:\/\/ceem-dauphine.eu\/en\/wp-json\/wp\/v2\/posts\/1229\/revisions\/1233"}],"wp:attachment":[{"href":"https:\/\/ceem-dauphine.eu\/en\/wp-json\/wp\/v2\/media?parent=1229"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/ceem-dauphine.eu\/en\/wp-json\/wp\/v2\/categories?post=1229"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/ceem-dauphine.eu\/en\/wp-json\/wp\/v2\/tags?post=1229"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}