مدیریت پرتفولیو برق: اعتبارات پیک بهینه/ غیر پیک

Electricity purchasers manage a portfolio of contracts in order to purchase the expected future electricity consumption profile of a company or a pool of clients. This paper proposes a mean-variance framework to address the concept of structuring the portfolio and focuses on how to optimally allocate positions in peak and off-peak forward contracts. It is shown that the optimal allocations are based on the difference in risk premiums per unit of day-ahead risk as a measure of relative costs of hedging risk in the day-ahead markets. The outcomes of the model are then applied to show (i) that it is typically not optimal to hedge a baseload consumption profile with a baseload forward contract and (ii) that, under reasonable assumptions, risk taking by the purchaser is rewarded by lower expected costs.

In many countries electricity markets are liberalized. As a result large electricity purchasers, e.g. large industrial consumers and electricity retail distribution companies, need to contract the future expected electricity consumption (load) for their own company or for a pool of clients. In liberalized electricity markets, they can do so by managing a hedging portfolio of contracts that involve delivery of electricity in future time periods and/or financially settle the difference between a fixed and a variable price. Examples of such contracts are day-ahead contracts, derivatives such as forwards, futures, swaps, variable volume or swing options and direct or indirect investments in energy production facilities.1 Proper management of the load hedging portfolio involves a continuous assessment of (a) the types of instruments (contracts) to buy or sell and (b) at what moment the portfolio needs to be rebalanced according to the risks the electricity purchaser prefers to take. An obvious objective of the purchaser is to incur the lowest expected costs for the expected electricity load, given a specific risk target. Since the beginning of the liberalization of energy markets, researchers have primarily focused on the price characteristics of different energy commodities and the valuation of derivative contracts. Traditionally the academic literature has dealt with proposing optimal hedging strategies using commodity futures.2 The issue of constructing efficient portfolios for electricity purchasers has received much less attention in the academic literature. Given the sometimes extreme price fluctuations in energy commodities, we feel that this issue is grossly undervalued. Poorly constructed portfolios exhibit either too high expected costs at a given risk level or, alternatively, too much risk for the current level of expected costs. This paper focuses on optimal instrument selection for a rational electricity purchaser that cares about the mean and variance of the future sourcing costs. It specifically tackles the question how electricity purchasers should choose between peak and off-peak forward contracts in order to structure their portfolios optimally. To do so, we construct a simple one-period framework and cast the allocation problem in a portfolio framework to find the optimal allocations to the forward contracts and the day-ahead market. The paper is organized as follows. Section 2 discusses the literature on energy portfolio management. In Section 3 we present our model. Section 4 highlights some managerial implications of the model and provides answers to the questions how a company should purchase a baseload consumption profile and whether taking risk is rewarded by lower expected costs. Section 5 concludes.

In this paper we have introduced a one-period framework to examine the optimal allocations to peak and off-peak forward contracts of a rational electricity purchaser who wants to hedge both price and volumetric risks. The results show that building an optimal portfolio with electricity forward contracts is a two-step procedure. First, purchasers find the optimal allocation to peak contracts relative to off-peak contracts in order to profit from differences in the relative hedging cost efficiency involved in both contracts. These relative positions are the same for every purchaser as they are not influenced by individual risk appetites. Secondly, the purchaser chooses the exact allocations, including positions in the day-ahead market, to meet her risk appetite. We apply the model to focus on two important empirical cases in purchasing electricity. The first case shows that it is only optimal to source a baseload consumption profile with a baseload forward contract when the hedging costs per unit of day-ahead risk are the same for both peak and off-peak contracts. In practice, these marginal hedging costs are not likely to be the same at all times, indicating that a purchaser would be better off in holding a different portfolio with peak and off-peak contracts instead. The second case reveals that purchasers with a higher risk appetite on the day-ahead market are rewarded with lower expected purchasing costs, provided that expected risk premiums are positive.