Electricity portfolio management : optimal peak/off-peak allocations

Article, Preprint, Research English OPEN
Huisman, R.; Mahieu, R.J.; Schlichter, F.;
  • Publisher: Erasmus Research Institute of Management
  • Subject: G11, electricity portfolio management, forward risk premiums, hedge ratio, optimal electricity sourcing
    • jel: jel:M | jel:G3

Electricity purchasers manage a portfolio of contracts in order to purchase the expected future electricity consumption profile of a company or a pool of clients. This paper proposes a mean-variance framework to address the concept of structuring the portfolio and focus... View more
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