In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy depends on a risk criterion chosen. We present an algorithm to hedge a position for a mean variance criterion taking into account the transaction cost and the small depth of the market. We show its effectiveness on a typical problem coming from the field of electricity markets.

中文翻译：

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应用于电力市场的方差最优对冲

在电力市场中，流动性不足、交易成本和市场价格特征阻止管理者准确复制合同。残余风险始终存在，对冲策略取决于所选的风险标准。我们提出了一种算法来对冲平均方差标准的头寸，同时考虑到交易成本和市场的小深度。我们展示了它对来自电力市场领域的典型问题的有效性。