- Page 1: Diss. ETH No. 14727 Hedging Strateg
- Page 6 and 7: vi of portfolio optimization. Howev
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- Page 14 and 15: xiv List of Figures ¤ 3.1 VaR and
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- Page 18 and 19: 2 List of Tables
- Page 20 and 21: 4 Introduction The uncertainty is h
- Page 22 and 23: 6 Introduction
- Page 24 and 25: 8 The electricity market Generation
- Page 26 and 27: 10 The electricity market dynamic i
- Page 28 and 29: 12 The electricity market cannot au
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- Page 36 and 37: 20 The electricity market 1400 1300
- Page 38 and 39: 22 The electricity market with its
- Page 40 and 41: 24 The electricity market Power Po
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- Page 44 and 45: 28 The electricity market buyer of
- Page 46 and 47: 30 The electricity market why these
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36 The electricity market 6 5 4 Ann
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Q 38 The electricity market 130 125
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duction cost Marginal pro Y ^ ^ [ D
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42 The electricity market a jump [C
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44 The electricity market
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46 Risk management risk management
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48 Risk management 3.3.1. Tradition
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50 Risk management and typically al
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52 Risk management measures that ar
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54 Risk management therefore has a
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56 Risk management Density 95% Prof
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58 Risk management 70 60 50 40 30 2
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60 Risk management of focusing on t
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Let lS x G y 1V?G P 62 Risk managem
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R R M R R 64 Risk management where
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66 Risk management tG T V r S tG T
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68 Risk management If the market is
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dS t R SXQ - lnS tV S t dt F S t dW
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72 Risk management with the energy
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74 Risk management 3.8. Summary The
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x S S g G S e G HV P 76 Contract en
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78 Contract engineering 1800 1600 1
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80 Contract engineering however is
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82 Contract engineering negative if
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84 Contract engineering High prices
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86 Contract engineering 4.4. Coal p
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88 Contract engineering price is av
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90 Contract engineering The decisio
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92 Contract engineering Payoff ¯ P
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94 Contract engineering subject to
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96 Contract engineering period the
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98 Contract engineering As seen in
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100 Contract engineering Flexibilit
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102 Contract engineering To be able
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104 Hedging strategies been publish
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Å È È 106 Hedging strategies 60
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È È È È 108 Hedging strategies
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110 Hedging strategies maturity, an
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112 Hedging strategies Contract to
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114 Hedging strategies
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116 Power portfolio optimization 6.
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118 Power portfolio optimization Pr
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120 Power portfolio optimization In
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x Û S g Ü S e Ü HÝ Ü 122 Power
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124 Power portfolio optimization p
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126 Power portfolio optimization A
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ö õ 128 Power portfolio optimizat
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ë ì á 130 Power portfolio optimi
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Note that by defining Wú õ Ü r
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¢ 134 Power portfolio optimization
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ö ö õ õ ìj 1Ü õ ìj 0Ü j 1
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è aëj Ü j 1Ü á?á@á bëi uÝ
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u ø j 1 u ì ø j 1 ì u ø i 1 u
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142 Power portfolio optimization up
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144 Power portfolio optimization 6.
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Ü 146 Power portfolio optimization
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148 Power portfolio optimization ma
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150 Power portfolio optimization st
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é 152 Power portfolio optimization
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e rÿ k ì j ¢ è xëk minÛ I k
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õ õ ö õ ë ì ö ì V end á 15
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ö õ õ 158 Power portfolio optimi
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ááá ááá ááá ááá ááá
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162 Power portfolio optimization di
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¢ zÿ V end ì. ¢ ¢ zÿ V end ì
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166 Power portfolio optimization Ef
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168 Power portfolio optimization We
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170 Case study Spot price process d
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172 Case study Stochastic factor St
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174 Case study 1500 1000 GWh 500 0
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176 Case study mal production portf
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178 Case study 8.5 8 (2) Expected p
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180 Case study 11000 10000 9000 800
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182 Case study 46 45 Average price
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MWh CHF/ P 184 Case study O6M0 N4L5
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186 Case study Risk constraint (CHF
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188 Case study 2500 2000 Dispatch [
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190 Case study
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192 Conclusions contract portfolio,
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a4i H a4q H f S dS 6 _ 194 Proofs a
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4i 6 a4i and b4i 7 16 a4i 7 1 8 _ 1
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_ _ 198 Proofs again be solved for
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200 Proofs
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202 Bibliography [Bar99] [Bau99] [B
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204 Bibliography [DJS01] [DS94] [EG
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206 Bibliography [JB98] B. Johnson
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208 Bibliography [OWP01] T. J. Over
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210 Bibliography [WH97] J. A. C. Wo