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engineering and technology
Tsinghua University

Hedging quantity risks of power plants with standard power options
descriptionPublicationkeyboard_double_arrow_right Conference object , Article 2016 United Kingdom Publisher:IEEE
Authors: Xiang, H; Zhou, Z; Kong, Y; Sun, H; +1 Authors
Xiang, H; Zhou, Z; Kong, Y; Sun, H; Guo, Q;
doi: 10.1109/icrera.2016.7884505
doi: 10.1109/icrera.2016.7884505
Power plants in the competitive market will face volatile generation cost and volatile spot price, and risk management will become crucial. We address quantity risk faced by power plants with quadratic cost, which produce electricity with variable cost and sell it at spot price. By innovatively modifying existing models that provide optimal quantity hedging schemes, we find out the optimal zero-cost hedging portfolio for both CARA and mean-variance utilitarian. Next, we demonstrate how to implement the modified hedging strategies. Finally, by analyzing the sensitivity of the quadratic coefficient, decision making differentiation between CARA and mean-variance utilitarian is revealed.
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Conference object . 2016 . Peer-reviewed
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Oxford University Re...arrow_drop_down
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Conference object . 2020
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https://doi.org/10.1109/icrera...
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Hedging quantity risks of power plants with standard power options
descriptionPublicationkeyboard_double_arrow_right Conference object , Article 2016 United Kingdom Publisher:IEEE
Authors: Xiang, H; Zhou, Z; Kong, Y; Sun, H; +1 Authors
Xiang, H; Zhou, Z; Kong, Y; Sun, H; Guo, Q;
doi: 10.1109/icrera.2016.7884505
doi: 10.1109/icrera.2016.7884505
Power plants in the competitive market will face volatile generation cost and volatile spot price, and risk management will become crucial. We address quantity risk faced by power plants with quadratic cost, which produce electricity with variable cost and sell it at spot price. By innovatively modifying existing models that provide optimal quantity hedging schemes, we find out the optimal zero-cost hedging portfolio for both CARA and mean-variance utilitarian. Next, we demonstrate how to implement the modified hedging strategies. Finally, by analyzing the sensitivity of the quadratic coefficient, decision making differentiation between CARA and mean-variance utilitarian is revealed.
Oxford University Re...arrow_drop_down
Oxford University Research Archive
Conference object . 2020
Data sources: Oxford University Research Archive
https://doi.org/10.1109/icrera...
Conference object . 2016 . Peer-reviewed
Data sources: Crossref
http://ieeexplore.ieee.org/xpl...
Article
Data sources: Microsoft Academic Graph
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citeCite
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Oxford University Re...arrow_drop_down
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Conference object . 2020
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https://doi.org/10.1109/icrera...
Conference object . 2016 . Peer-reviewed
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Article
Data sources: Microsoft Academic Graph
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The following results are related to Energy Research. Are you interested to view more results? Visit OpenAIRE - Explore.

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Hedging quantity risks of power plants with standard power options
descriptionPublicationkeyboard_double_arrow_right Conference object , Article 2016 United Kingdom Publisher:IEEE
Authors: Xiang, H; Zhou, Z; Kong, Y; Sun, H; +1 Authors
Xiang, H; Zhou, Z; Kong, Y; Sun, H; Guo, Q;
doi: 10.1109/icrera.2016.7884505
doi: 10.1109/icrera.2016.7884505
Power plants in the competitive market will face volatile generation cost and volatile spot price, and risk management will become crucial. We address quantity risk faced by power plants with quadratic cost, which produce electricity with variable cost and sell it at spot price. By innovatively modifying existing models that provide optimal quantity hedging schemes, we find out the optimal zero-cost hedging portfolio for both CARA and mean-variance utilitarian. Next, we demonstrate how to implement the modified hedging strategies. Finally, by analyzing the sensitivity of the quadratic coefficient, decision making differentiation between CARA and mean-variance utilitarian is revealed.
Oxford University Re...arrow_drop_down
Oxford University Research Archive
Conference object . 2020
Data sources: Oxford University Research Archive
https://doi.org/10.1109/icrera...
Conference object . 2016 . Peer-reviewed
Data sources: Crossref
http://ieeexplore.ieee.org/xpl...
Article
Data sources: Microsoft Academic Graph
linkLink to
shareshareShare
citeCite
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This Research product is the result of merged Research products in OpenAIRE.

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Oxford University Re...arrow_drop_down
Oxford University Research Archive
Conference object . 2020
Data sources: Oxford University Research Archive
https://doi.org/10.1109/icrera...
Conference object . 2016 . Peer-reviewed
Data sources: Crossref
http://ieeexplore.ieee.org/xpl...
Article
Data sources: Microsoft Academic Graph
linkLink to
shareshareShare
citeCite
addClaim
Please grant OpenAIRE to access and update your ORCID works.
This Research product is the result of merged Research products in OpenAIRE.

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This Research product is the result of merged Research products in OpenAIRE.

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Hedging quantity risks of power plants with standard power options
descriptionPublicationkeyboard_double_arrow_right Conference object , Article 2016 United Kingdom Publisher:IEEE
Authors: Xiang, H; Zhou, Z; Kong, Y; Sun, H; +1 Authors
Xiang, H; Zhou, Z; Kong, Y; Sun, H; Guo, Q;
doi: 10.1109/icrera.2016.7884505
doi: 10.1109/icrera.2016.7884505
Power plants in the competitive market will face volatile generation cost and volatile spot price, and risk management will become crucial. We address quantity risk faced by power plants with quadratic cost, which produce electricity with variable cost and sell it at spot price. By innovatively modifying existing models that provide optimal quantity hedging schemes, we find out the optimal zero-cost hedging portfolio for both CARA and mean-variance utilitarian. Next, we demonstrate how to implement the modified hedging strategies. Finally, by analyzing the sensitivity of the quadratic coefficient, decision making differentiation between CARA and mean-variance utilitarian is revealed.
Oxford University Re...arrow_drop_down
Oxford University Research Archive
Conference object . 2020
Data sources: Oxford University Research Archive
https://doi.org/10.1109/icrera...
Conference object . 2016 . Peer-reviewed
Data sources: Crossref
http://ieeexplore.ieee.org/xpl...
Article
Data sources: Microsoft Academic Graph
linkLink to
shareshareShare
citeCite
addClaim
Please grant OpenAIRE to access and update your ORCID works.
This Research product is the result of merged Research products in OpenAIRE.

You have already added works in your ORCID record related to the merged Research product.
This Research product is the result of merged Research products in OpenAIRE.

You have already added works in your ORCID record related to the merged Research product.
Select content type to embed
All Research products
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0
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Powered by BIP!
more_vert
Oxford University Re...arrow_drop_down
Oxford University Research Archive
Conference object . 2020
Data sources: Oxford University Research Archive
https://doi.org/10.1109/icrera...
Conference object . 2016 . Peer-reviewed
Data sources: Crossref
http://ieeexplore.ieee.org/xpl...
Article
Data sources: Microsoft Academic Graph
linkLink to
shareshareShare
citeCite
addClaim
Please grant OpenAIRE to access and update your ORCID works.
This Research product is the result of merged Research products in OpenAIRE.

You have already added works in your ORCID record related to the merged Research product.
This Research product is the result of merged Research products in OpenAIRE.

You have already added works in your ORCID record related to the merged Research product.
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Hedging quantity risks of power plants with standard power options

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Hedging quantity risks of power plants with standard power options

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Hedging quantity risks of power plants with standard power options

Hedging quantity risks of power plants with standard power options

Energy Research
Embargo
engineering and technology
Tsinghua University