Hedging with futures contracts in a deregulated electricity industry

被引：79

作者：

Tanlapco, E ^{[1
]}

Lawarrée, J

Liu, CC

机构：

[1] Univ Washington, Dept Econ, Seattle, WA 98195 USA

[2] Univ Washington, Coll Engn, Seattle, WA 98195 USA

来源：

IEEE TRANSACTIONS ON POWER SYSTEMS | 2002年 / 17卷 / 03期

关键词：

electricity deregulation; risk management;

D O I：

10.1109/TPWRS.2002.800897

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

This paper is a statistical study of direct and cross hedging strategies using futures contracts in an electricity market. A comparison of the strategies is based on the standard deviation or risk of the values of the hedging positions. Results indicate that the use of electricity futures contracts is superior to using other related futures contracts such as crude oil.

引用

页码：577 / 582

页数：6