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dc.contributor.authorChemla, Gilles
dc.contributor.authorPorchet, Arnaud
dc.contributor.authorAïd, René
dc.contributor.authorTouzi, Nizar
dc.date.accessioned2013-02-20T09:57:48Z
dc.date.available2013-02-20T09:57:48Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11029
dc.language.isoenen
dc.subjectSpot and vertical integrationen
dc.subjectRetailersen
dc.subjectProducersen
dc.subjectHedgingen
dc.subjectElectricity marketsen
dc.subject.ddc332en
dc.subject.classificationjelD21en
dc.subject.classificationjelG13en
dc.subject.classificationjelG32en
dc.subject.classificationjelG34en
dc.subject.classificationjelI11en
dc.subject.classificationjelI51en
dc.subject.classificationjelI94en
dc.titleHedging and vertical integration in electricity marketsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherCentre de Mathématiques Appliquées, Ecole Polytechnique;France
dc.description.abstractenThis paper analyzes the interactions between competitive (wholesale) spot, retail, and forward markets and vertical integration in electricity markets. We develop an equilibrium model with producers, retailers, and traders to study and quantify the impact of forward markets and vertical integration on prices, risk premia, and retail market shares. We point out that forward hedging and vertical integration are two separate mechanisms for demand and spot price risk diversification that both reduce the retail price and increase retail market shares. We show that they differ in their impact on prices and firms utility because of the asymmetry between production and retail segments. Vertical integration restores the symmetry between producers and retailers exposure to demand risk, whereas linear forward contracts do not. Vertical integration is superior to forward hedging when retailers are highly risk averse. We illustrate our analysis with data from the French electricity marketen
dc.relation.isversionofjnlnameManagement Science
dc.relation.isversionofjnlvol57en
dc.relation.isversionofjnlissue8en
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages1438-1452en
dc.relation.isversionofjnlpublisherINFORMSen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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