Huisman, R.; Mahieu, R.J.; Schlichter, F. - Erasmus Research Institute of Management (ERIM), ERIM … - 2007
Keywords
Electricity prices, Mean variance, Hedge ratios, Forward risk premium
Availability
The ERIM Report Series is … consumption volumes
and electricity prices (day ahead and forward) and propose a mean-variance type model to
determine optimal … constant.
In order to formulate the expressions for the mean and variance of D, let μ(h) be the expected
day-ahead price …