We present the closed-form solution to the problem of hedging price and quantity risks for energy retailers (ER), using financial instruments based on electricity price and weather indexes. Our model considers an ER who is intermediary in a regulated electricity market. ERs buy a fixed quantity of electricity at a variable cost and must serve a variable demand at a fixed cost. Thus ERs are subject to both price and quantity risks. To hedge such risks, an ER could construct a portfolio of financial instruments based on price and weather indexes. We construct the closed form solution for the optimal portfolio for the mean-VaR model in the discrete setting. Our model does not make any distributional assumption.

我们使用基于电价和天气指数的金融工具，为能源零售商（ER）的价格和数量风险对冲提供封闭形式的解决方案。我们的模型考虑了在受监管的电力市场中扮演中介角色的ER。ER以可变成本购买固定数量的电力，并且必须以固定成本满足可变需求。因此，ER既要承受价格风险，又要承受数量风险。为了对冲此类风险，ER可以根据价格和天气指数构建金融工具组合。我们为离散环境中的均值-VaR模型的最优投资组合构建封闭形式的解决方案。我们的模型没有做任何分布假设。