Hedging Strategy and Electricity Contract Engineering - IFOR

a4q V a4q G 1 V H a4q 6
Appendix A
Proofs
Theorem 6.1
6 For b b4i
b4i 1 , let be such that b i
G 1 V H b4i 1 , where 7 7
i 2 V V b4 6 r aG bH V and G define V H a4i
1 a4i 1 , where bWiS 17
b
bWiS 17
. 7 V 6 8J88
bWi
Then aG bH is a concave, monotone increasing function in b.
Proof For the proof we observe that the points 6
b4i
a4i
positions, i. e. let
2
4
are in convex
b4q V b4i
G 1 V H b4
j 6 V 0 6 1
then
a4q V a4i
G 1 V H a4j 6 (A.1)
where we assume w.l.o.g. that b4i X
b4q X b4
j
and hence by definition
a4i X
a4q X
a4j . Again by definition S4 i Y
S4q Y
S4j .
To show (A.1) note that