Economics at your fingertips  

Hedging strategies in energy markets: The case of electricity retailers

Raphaël Homayoun Boroumand, Stéphane Goutte (), Simon Porcher () and Thomas Porcher ()
Additional contact information
Raphaël Homayoun Boroumand: ESG Research Lab - ESG Management School, City University London

Post-Print from HAL

Abstract: As market intermediaries, electricity retailers buy electricity from the wholesale market or self generate for re(sale) on the retail market. Electricity retailers are uncertain about how much electricity their residential customers will use at any time of the day until they actually turn switches on. While demand uncertainty is a common feature of all commodity markets, retailers generally rely on storage to manage demand uncertainty. On electricity markets, retailers are exposed to joint quantity and price risk on an hourly basis given the physical singularity of electricity as a commodity. In the literature on electricity markets, few articles deals on intra-day hedging portfolios to manage joint price and quantity risk whereas electricity markets are hourly markets. The contributions of the article are twofold. First, we define through a VaR and CVaR model optimal portfolios for specific hours (3am, 6am,. .. ,12pm) based on electricity market data from 2001 to 2011 for the French market. We prove that the optimal hedging strategy differs depending on the cluster hour. Secondly, we demonstrate the significantly superior efficiency of intra-day hedging portfolios over daily (therefore weekly and yearly) portfolios. Over a decade (2001-2011), our results

Keywords: VaR; Intra-day; Retailer; Electricity; Risk; Hedging; Portfolio; CVaR (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ene, nep-reg and nep-rmg
Note: View the original document on HAL open archive server:
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Published in Energy Economics, Elsevier, 2015, 51, pp.503-509. ⟨10.1016/j.eneco.2015.06.021⟩

Downloads: (external link) (application/pdf)

Related works:
Journal Article: Hedging strategies in energy markets: The case of electricity retailers (2015) Downloads
Working Paper: Hedging strategies in energy markets: the case of electricity retailers (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.eneco.2015.06.021

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

Page updated 2020-02-19
Handle: RePEc:hal:journl:halshs-01194750