Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27094
Authors: 
Rodt, Marc
Schäfer, Klaus
Year of Publication: 
2005
Series/Report no.: 
Freiberg working papers 2005,18
Abstract: 
The regulatory changes in the german electric power market result in rising electricity price volatility. As a consequence electricity price risk management is essential for an electricity trader. The paper therefore analyzes the needed volume of futures hedging for an electricity trader, that ist tries to derive the optimal hedge ratio. In the first step the theoretical conditions for a preference-free optimal hedge ratio are discussed. In the second step these conditions are analyzed empirically with data for the german electricity exchange EEX and the scandinavian electricity exchange Nord Pool.
Subjects: 
Electricity Price Risk
Electricity Futures
optimal Hedge Ratio
JEL: 
C10
G13
Q40
Document Type: 
Working Paper

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