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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorAïd, René
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorChemla, Gilles
hal.structure.identifier
dc.contributor.authorPorchet, Arnaud
hal.structure.identifierCentre de Mathématiques Appliquées - Ecole Polytechnique [CMAP]
dc.contributor.authorTouzi, Nizar
dc.date.accessioned2019-10-03T07:38:48Z
dc.date.available2019-10-03T07:38:48Z
dc.date.issued2011
dc.identifier.issn0025-1909
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19976
dc.language.isoenen
dc.subjectcorporate financeen
dc.subjectindustriesen
dc.subjectelectric–electronicen
dc.subjectfinancial institutionsen
dc.subjectmarketsen
dc.subjectasset pricingen
dc.subject.ddc332en
dc.subject.classificationjelD.D2.D21en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelG.G3.G32en
dc.subject.classificationjelG.G3.G34en
dc.titleHedging and Vertical Integration in Electricity Marketsen
dc.typeArticle accepté pour publication ou publié
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 market.en
dc.relation.isversionofjnlnameManagement Science
dc.relation.isversionofjnlvol57en
dc.relation.isversionofjnlissue8en
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpagesiv-1509en
dc.relation.isversionofdoi10.1287/mnsc.1110.1357en
dc.relation.isversionofjnlpublisherInstitute for Operations Research and the Management Sciencesen
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-09-24T12:10:07Z
hal.identifierhal-02304220*
hal.version1*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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