Title :
Hedging with Futures Contracts in a Deregulated Electricity Industry
Author :
Tanlapco, E. ; Lawarree, J. ; Liu, C. C.
Author_Institution :
University of Washington
fDate :
7/1/2002 12:00:00 AM
Abstract :
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.
Keywords :
Contracts; Costs; Electricity supply industry deregulation; Power generation; Power system planning; Power system reliability; Risk analysis; Uncertainty; Wind energy generation; Wind forecasting; Electricity deregulation; risk management;
Journal_Title :
Power Engineering Review, IEEE
DOI :
10.1109/MPER.2002.4312381
