The literature on optimal dispatch of wholesale power systems implicitly assumes that market participants are risk-neutral. But, in practice, most wholesale electricity market participants behave as though they are risk averse, seeking to insulate themselves from the market risks they face. In this context, achieving the overall social-welfare maximum requires simultaneously finding both the optimal dispatch and optimal hedging arrangements. Assuming that market participants have mean–variance preferences, we show that the dispatch task can be separated from the hedging task. We show how market participants can achieve a perfect hedge by forming a portfolio of inter-temporal hedge contracts. Departing from the previous literature, we assume the system operator is risk averse. We show how the system operator can achieve a perfect hedge using a portfolio of inter-nodal hedging instruments which we refer to as generalised Financial Transmission Rights. The total risk experienced by market participants when optimally hedged is equal to the variation in the total surplus or total economic welfare. This approach therefore leads naturally to a form of merchant transmission investment where network upgrade decisions are carried out by a coalition of risk-bearers in the market. In addition, we propose a natural extension in which transmission network operators provide a form of insurance against network outages, and face the correct social incentive for avoiding network outages. This approach resolves a number of outstanding issues in the economic analysis of power markets.

关于批发电力系统优化调度的文献隐含地假设市场参与者是风险中性的。但是，在实践中，大多数批发电力市场参与者表现得好像他们是风险厌恶者，试图将自己与他们面临的市场风险隔离开来。在这种情况下，实现整体社会福利最大化需要同时找到最优调度和最佳对冲安排。假设市场参与者具有均值方差偏好，我们表明调度任务可以与对冲任务分开。我们展示了市场参与者如何通过形成跨期对冲合约组合来实现完美对冲。与之前的文献不同，我们假设系统操作员是风险厌恶的。我们展示了系统运营商如何使用我们称为广义金融传输权的节点间对冲工具组合来实现完美对冲。市场参与者在最佳对冲时所经历的总风险等于总盈余或总经济福利的变化。因此，这种方法自然会导致一种商业传输投资形式，其中网络升级决策由市场上的风险承担者联盟执行。此外，我们提出了一个自然延伸，其中传输网络运营商提供一种形式的网络中断保险，并面临避免网络中断的正确社会激励。这种方法解决了电力市场经济分析中的一些突出问题。