期刊名称：IOP Conference Series: Earth and Environmental Science
印刷版ISSN：1755-1307
电子版ISSN：1755-1315
出版年度：2019
卷号：295
期号：4
页码：1-7
DOI：10.1088/1755-1315/295/4/042127
出版社：IOP Publishing
摘要：With the further development of power market reform, the demand for energy trading entities to avoid the risk of electricity price is becoming more and more prominent. This paper uses the method of minimizing the variance of the portfolio return rate combined with the electricity futures price data from the European Energy Exchange to estimate the optimal hedging ratio and perform the residual test. Finally, the decision of power producers to use the power futures hedging strategy to avoid the risk of spot price fluctuations will be discussed.
