{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T07:33:19Z","timestamp":1740123199301,"version":"3.37.3"},"reference-count":44,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2022,9,23]],"date-time":"2022-09-23T00:00:00Z","timestamp":1663891200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2022,9,23]],"date-time":"2022-09-23T00:00:00Z","timestamp":1663891200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2023,11]]},"DOI":"10.1007\/s10479-022-04969-w","type":"journal-article","created":{"date-parts":[[2022,9,23]],"date-time":"2022-09-23T10:03:55Z","timestamp":1663927435000},"page":"757-785","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Futures hedging in electricity retailing"],"prefix":"10.1007","volume":"330","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-3921-3877","authenticated-orcid":false,"given":"Fehmi","family":"Tanrisever","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6954-9144","authenticated-orcid":false,"given":"Burak","family":"B\u00fcke","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Geert","family":"Jongen","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2022,9,23]]},"reference":[{"issue":"2","key":"4969_CR1","doi-asserted-by":"publisher","first-page":"153","DOI":"10.1080\/13504860600725031","volume":"14","author":"FE Benth","year":"2007","unstructured":"Benth, F. E., Kallsen, J., & Meyer-Brandis, T. (2007). A non-gaussian ornstein-uhlenbeck process for electricity spot price modeling and derivatives pricing. Applied Mathematical Finance, 14(2), 153\u2013169.","journal-title":"Applied Mathematical Finance"},{"issue":"4","key":"4969_CR2","doi-asserted-by":"publisher","first-page":"1285","DOI":"10.1109\/59.801886","volume":"14","author":"R Bjorgan","year":"1999","unstructured":"Bjorgan, R., Liu, C. C., & Lawarree, J. (1999). Financial risk management in a competitive electricity market. IEEE Transactions on Power Systems, 14(4), 1285\u20131291.","journal-title":"IEEE Transactions on Power Systems"},{"key":"4969_CR3","doi-asserted-by":"publisher","first-page":"503","DOI":"10.1016\/j.eneco.2015.06.021","volume":"51","author":"RH Boroumand","year":"2015","unstructured":"Boroumand, R. H., Goutte, S., Porcher, S., & Porcher, T. (2015). Hedging strategies in energy markets: The case of electricity retailers. Energy Economics, 51, 503\u2013509.","journal-title":"Energy Economics"},{"issue":"2","key":"4969_CR4","doi-asserted-by":"publisher","first-page":"111","DOI":"10.21314\/JEM.2016.146","volume":"9","author":"RI Brik","year":"2016","unstructured":"Brik, R. I., & Roncoroni, A. (2016). Static mitigation of volumetric risk. The Journal of Energy Markets, 9(2), 111\u2013150.","journal-title":"The Journal of Energy Markets"},{"issue":"4","key":"4969_CR5","doi-asserted-by":"publisher","first-page":"1283","DOI":"10.1093\/rfs\/15.4.1283","volume":"15","author":"GW Brown","year":"2002","unstructured":"Brown, G. W., & Toft, K. B. (2002). How firms should hedge. The Review of Financial Studies, 15(4), 1283\u20131324.","journal-title":"The Review of Financial Studies"},{"issue":"1","key":"4969_CR6","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1080\/00036840210138365","volume":"35","author":"HN Bystr\u00f6m","year":"2003","unstructured":"Bystr\u00f6m, H. N. (2003). The hedging performance of electricity futures on the Nordic power exchange. Applied Economics, 35(1), 1\u201311.","journal-title":"Applied Economics"},{"issue":"1","key":"4969_CR7","doi-asserted-by":"publisher","first-page":"100","DOI":"10.1109\/59.982199","volume":"17","author":"RA Collins","year":"2002","unstructured":"Collins, R. A. (2002). The economics of electricity hedging and a proposed modification for the futures contract for electricity. IEEE Transactions on Power Systems, 17(1), 100\u2013107.","journal-title":"IEEE Transactions on Power Systems"},{"issue":"2","key":"4969_CR8","doi-asserted-by":"publisher","first-page":"503","DOI":"10.1109\/TPWRS.2003.810685","volume":"18","author":"R Dahlgren","year":"2003","unstructured":"Dahlgren, R., Liu, C. C., & Lawarree, J. (2003). Risk assessment in energy trading. IEEE Transactions on Power Systems, 18(2), 503\u2013511.","journal-title":"IEEE Transactions on Power Systems"},{"issue":"6\u20137","key":"4969_CR9","doi-asserted-by":"publisher","first-page":"940","DOI":"10.1016\/j.energy.2005.02.015","volume":"31","author":"SJ Deng","year":"2006","unstructured":"Deng, S. J., & Oren, S. S. (2006). Electricity derivatives and risk management. Energy, 31(6\u20137), 940\u2013953.","journal-title":"Energy"},{"issue":"376","key":"4969_CR10","doi-asserted-by":"publisher","first-page":"774","DOI":"10.1080\/01621459.1981.10477720","volume":"76","author":"R Engle","year":"1981","unstructured":"Engle, R., & Watson, M. (1981). A one-factor multivariate time series model of metropolitan wage rates. Journal of the American Statistical Association, 76(376), 774\u2013781.","journal-title":"Journal of the American Statistical Association"},{"key":"4969_CR11","doi-asserted-by":"crossref","unstructured":"Froot, K. A., Scharfstein, D. S., & Stein, J. C. (1993). Risk management: Coordinating corporate investment and financing policies.\u00a0The Journal of Finance,\u00a048(5), 1629\u20131658.","DOI":"10.1111\/j.1540-6261.1993.tb05123.x"},{"issue":"1","key":"4969_CR13","doi-asserted-by":"publisher","first-page":"180","DOI":"10.1109\/TPWRS.2005.860920","volume":"21","author":"SA Gabriel","year":"2006","unstructured":"Gabriel, S. A., Conejo, A. J., Plazas, M. A., & Balakrishnan, S. (2006). Optimal price and quantity determination for retail electric power contracts. IEEE Transactions on Power Systems, 21(1), 180\u2013187.","journal-title":"IEEE Transactions on Power Systems"},{"issue":"6","key":"4969_CR14","doi-asserted-by":"publisher","first-page":"1227","DOI":"10.1016\/j.eneco.2011.07.005","volume":"33","author":"C Garc\u00eda-Martos","year":"2011","unstructured":"Garc\u00eda-Martos, C., Rodr\u00edguez, J., & S\u00e1nchez, M. J. (2011). Forecasting electricity prices and their volatilities using Unobserved Components. Energy Economics, 33(6), 1227\u20131239.","journal-title":"Energy Economics"},{"issue":"4","key":"4969_CR15","doi-asserted-by":"publisher","first-page":"1766","DOI":"10.1109\/59.331429","volume":"9","author":"TW Gedra","year":"1994","unstructured":"Gedra, T. W. (1994). Optional forward contracts for electric power markets. IEEE Transactions on Power Systems, 9(4), 1766\u20131773.","journal-title":"IEEE Transactions on Power Systems"},{"key":"4969_CR16","volume-title":"Commodities and commodity derivatives: Modeling and pricing for agriculturals, metals and energy","author":"H Geman","year":"2009","unstructured":"Geman, H. (2009). Commodities and commodity derivatives: Modeling and pricing for agriculturals, metals and energy. John Wiley & Sons."},{"issue":"3","key":"4969_CR17","doi-asserted-by":"publisher","first-page":"1225","DOI":"10.1086\/500675","volume":"79","author":"H Geman","year":"2006","unstructured":"Geman, H., & Roncoroni, A. (2006). Understanding the fine structure of electricity prices. The Journal of Business, 79(3), 1225\u20131261.","journal-title":"The Journal of Business"},{"key":"4969_CR18","doi-asserted-by":"crossref","unstructured":"Goel, A., & Tanrisever, F. (2011). Integrated options and spot procurement for commodity processors.\u00a0Available at SSRN 1898866.","DOI":"10.2139\/ssrn.1898866"},{"key":"4969_CR19","doi-asserted-by":"crossref","unstructured":"Handika, R., & Trueck, S. (2013). Risk premiums in interconnected Australian electricity futures markets.\u00a0Available at SSRN 2279945.","DOI":"10.2139\/ssrn.2279945"},{"issue":"1","key":"4969_CR20","doi-asserted-by":"publisher","first-page":"29","DOI":"10.1002\/ijfe.1600","volume":"23","author":"J Hanly","year":"2018","unstructured":"Hanly, J., Morales, L., & Cassells, D. (2018). The efficacy of financial futures as a hedging tool in electricity markets. International Journal of Finance & Economics, 23(1), 29\u201340.","journal-title":"International Journal of Finance & Economics"},{"issue":"1","key":"4969_CR21","doi-asserted-by":"publisher","first-page":"246","DOI":"10.1016\/j.epsr.2008.06.003","volume":"79","author":"AR Hatami","year":"2009","unstructured":"Hatami, A. R., Seifi, H., & Sheikh-El-Eslami, M. K. (2009). Optimal selling price and energy procurement strategies for a retailer in an electricity market. Electric Power Systems Research, 79(1), 246\u2013254.","journal-title":"Electric Power Systems Research"},{"issue":"6","key":"4969_CR22","doi-asserted-by":"publisher","first-page":"1931","DOI":"10.1016\/j.eneco.2012.08.003","volume":"34","author":"E Haugom","year":"2012","unstructured":"Haugom, E., & Ullrich, C. J. (2012). Market efficiency and risk premia in short-term forward prices. Energy Economics, 34(6), 1931\u20131941.","journal-title":"Energy Economics"},{"issue":"1","key":"4969_CR23","doi-asserted-by":"publisher","first-page":"103","DOI":"10.1023\/A:1013682825693","volume":"21","author":"WW Hogan","year":"2002","unstructured":"Hogan, W. W. (2002). Electricity market restructuring: Reforms of reforms. Journal of Regulatory Economics, 21(1), 103\u2013132.","journal-title":"Journal of Regulatory Economics"},{"issue":"1","key":"4969_CR24","doi-asserted-by":"publisher","first-page":"169","DOI":"10.1016\/j.eneco.2008.08.003","volume":"31","author":"R Huisman","year":"2009","unstructured":"Huisman, R., Mahieu, R., & Schlichter, F. (2009). Electricity portfolio management: Optimal peak\/off-peak allocations. Energy Economics, 31(1), 169\u2013174.","journal-title":"Energy Economics"},{"issue":"2","key":"4969_CR25","doi-asserted-by":"publisher","first-page":"893","DOI":"10.1111\/j.1540-6261.2006.00858.x","volume":"61","author":"Y Jin","year":"2006","unstructured":"Jin, Y., & Jorion, P. (2006). Firm value and hedging: Evidence from US oil and gas producers. The Journal of Finance, 61(2), 893\u2013919.","journal-title":"The Journal of Finance"},{"key":"4969_CR26","doi-asserted-by":"publisher","DOI":"10.5547\/ISSN0195-6574-EJ-Vol26-No1-1","author":"PR Kleindorfer","year":"2005","unstructured":"Kleindorfer, P. R., & Li, L. (2005). Multi-period VaR-constrained portfolio optimization with applications to the electric power sector. The Energy Journal. https:\/\/doi.org\/10.5547\/ISSN0195-6574-EJ-Vol26-No1-1","journal-title":"The Energy Journal"},{"issue":"3","key":"4969_CR27","first-page":"261","volume":"48","author":"F Modigliani","year":"1958","unstructured":"Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American Economic Review, 48(3), 261\u2013297.","journal-title":"The American Economic Review"},{"key":"4969_CR28","doi-asserted-by":"publisher","first-page":"16","DOI":"10.1016\/j.jcomm.2018.05.002","volume":"13","author":"J Nikkinen","year":"2019","unstructured":"Nikkinen, J., & Rothovius, T. (2019). Market specific seasonal trading behavior in NASDAQ OMX electricity options. Journal of Commodity Markets, 13, 16\u201329.","journal-title":"Journal of Commodity Markets"},{"issue":"1","key":"4969_CR29","doi-asserted-by":"publisher","first-page":"43","DOI":"10.3233\/RDA-2008-0005","volume":"1","author":"Y Oum","year":"2009","unstructured":"Oum, Y., & Oren, S. (2009). VaR constrained hedging of fixed price load-following obligations in competitive electricity markets. Risk and Decision Analysis, 1(1), 43\u201356.","journal-title":"Risk and Decision Analysis"},{"issue":"7","key":"4969_CR30","doi-asserted-by":"publisher","first-page":"697","DOI":"10.1002\/nav.20184","volume":"53","author":"Y Oum","year":"2006","unstructured":"Oum, Y., Oren, S., & Deng, S. (2006). Hedging quantity risks with standard power options in a competitive wholesale electricity market. Naval Research Logistics (NRL), 53(7), 697\u2013712.","journal-title":"Naval Research Logistics (NRL)"},{"issue":"6","key":"4969_CR31","doi-asserted-by":"publisher","first-page":"2216","DOI":"10.1016\/j.eneco.2012.03.016","volume":"34","author":"S Pineda","year":"2012","unstructured":"Pineda, S., & Conejo, A. J. (2012). Managing the financial risks of electricity producers using options. Energy Economics, 34(6), 2216\u20132227.","journal-title":"Energy Economics"},{"issue":"2","key":"4969_CR32","doi-asserted-by":"publisher","first-page":"101","DOI":"10.1007\/s40565-013-0018-y","volume":"1","author":"S Pineda","year":"2013","unstructured":"Pineda, S., & Conejo, A. J. (2013). Using electricity options to hedge against financial risks of power producers. Journal of Modern Power Systems and Clean Energy, 1(2), 101\u2013109.","journal-title":"Journal of Modern Power Systems and Clean Energy"},{"issue":"1","key":"4969_CR33","doi-asserted-by":"publisher","first-page":"100","DOI":"10.1086\/260849","volume":"88","author":"J Rolfo","year":"1980","unstructured":"Rolfo, J. (1980). Optimal hedging under price and quantity uncertainty: The case of a cocoa producer. Journal of Political Economy, 88(1), 100\u2013116.","journal-title":"Journal of Political Economy"},{"key":"4969_CR34","doi-asserted-by":"publisher","first-page":"415","DOI":"10.1016\/j.eneco.2016.10.020","volume":"64","author":"A Roncoroni","year":"2017","unstructured":"Roncoroni, A., & Brik, R. I. (2017). Hedging size risk: Theory and application to the US gas market. Energy Economics, 64, 415\u2013437.","journal-title":"Energy Economics"},{"issue":"4","key":"4969_CR35","doi-asserted-by":"publisher","first-page":"391","DOI":"10.2307\/2330757","volume":"20","author":"CW Smith","year":"1985","unstructured":"Smith, C. W., & Stulz, R. M. (1985). The determinants of firms\u2019 hedging policies. Journal of Financial and Quantitative Analysis, 20(4), 391\u2013405.","journal-title":"Journal of Financial and Quantitative Analysis"},{"issue":"3","key":"4969_CR36","doi-asserted-by":"publisher","first-page":"8","DOI":"10.1111\/j.1745-6622.1996.tb00295.x","volume":"9","author":"RM Stulz","year":"1996","unstructured":"Stulz, R. M. (1996). Rethinking risk management. Journal of Applied Corporate Finance, 9(3), 8\u201325.","journal-title":"Journal of Applied Corporate Finance"},{"issue":"3","key":"4969_CR37","doi-asserted-by":"publisher","first-page":"577","DOI":"10.1109\/TPWRS.2002.800897","volume":"17","author":"E Tanlapco","year":"2002","unstructured":"Tanlapco, E., Lawarr\u00e9e, J., & Liu, C. C. (2002). Hedging with futures contracts in a deregulated electricity industry. IEEE Transactions on Power Systems, 17(3), 577\u2013582.","journal-title":"IEEE Transactions on Power Systems"},{"issue":"1","key":"4969_CR38","doi-asserted-by":"publisher","first-page":"101","DOI":"10.2307\/3666323","volume":"31","author":"S Titman","year":"2002","unstructured":"Titman, S. (2002). The Modigliani and Miller theorem and the integration of financial markets. Financial Management, 31(1), 101\u2013115.","journal-title":"Financial Management"},{"issue":"1","key":"4969_CR39","doi-asserted-by":"publisher","first-page":"386","DOI":"10.1016\/j.enpol.2010.10.016","volume":"39","author":"J Viehmann","year":"2011","unstructured":"Viehmann, J. (2011). Risk premiums in the German day-ahead electricity market. Energy Policy, 39(1), 386\u2013394.","journal-title":"Energy Policy"},{"key":"4969_CR40","unstructured":"Wagner, M. R. (2001).\u00a0Hedging optimization algorithms for deregulated electricity markets\u00a0(Doctoral dissertation, Massachusetts Institute of Technology)."},{"issue":"5","key":"4969_CR41","doi-asserted-by":"publisher","first-page":"635","DOI":"10.1016\/S0301-4215(02)00317-8","volume":"32","author":"CK Woo","year":"2004","unstructured":"Woo, C. K., Karimov, R. I., & Horowitz, I. (2004). Managing electricity procurement cost and risk by a local distribution company. Energy Policy, 32(5), 635\u2013645.","journal-title":"Energy Policy"},{"key":"4969_CR43","doi-asserted-by":"crossref","unstructured":"Yang, I., Callaway, D. S., & Tomlin, C. J. (2015, July). Indirect load control for electricity market risk management via risk-limiting dynamic contracts. In: 2015 American Control Conference (ACC)\u00a0(pp. 3025\u20133031). IEEE.","DOI":"10.1109\/ACC.2015.7171797"},{"issue":"5\u20136","key":"4969_CR44","doi-asserted-by":"publisher","first-page":"437","DOI":"10.1016\/j.ijepes.2005.03.002","volume":"27","author":"JM Yusta","year":"2005","unstructured":"Yusta, J. M., Ramirez-Rosado, I. J., Dominguez-Navarro, J. A., & Perez-Vidal, J. M. (2005). Optimal electricity price calculation model for retailers in a deregulated market. International Journal of Electrical Power & Energy Systems, 27(5\u20136), 437\u2013447.","journal-title":"International Journal of Electrical Power & Energy Systems"},{"issue":"2","key":"4969_CR45","doi-asserted-by":"publisher","first-page":"135","DOI":"10.1016\/j.intfin.2009.12.001","volume":"20","author":"G Zanotti","year":"2010","unstructured":"Zanotti, G., Gabbi, G., & Geranio, M. (2010). Hedging with futures: Efficacy of GARCH correlation models to European electricity markets. Journal of International Financial Markets, Institutions and Money, 20(2), 135\u2013148.","journal-title":"Journal of International Financial Markets, Institutions and Money"},{"issue":"5","key":"4969_CR46","doi-asserted-by":"publisher","first-page":"2255","DOI":"10.1016\/j.cnsns.2008.04.020","volume":"14","author":"H Zhou","year":"2009","unstructured":"Zhou, H., Chen, B., Han, Z. X., & Zhang, F. Q. (2009). Study on probability distribution of prices in electricity market: A case study of Zhejiang Province, China. Communications in Nonlinear Science and Numerical Simulation, 14(5), 2255\u20132265.","journal-title":"Communications in Nonlinear Science and Numerical SimUlation"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-022-04969-w.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10479-022-04969-w\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-022-04969-w.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,11,21]],"date-time":"2023-11-21T17:14:22Z","timestamp":1700586862000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10479-022-04969-w"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2022,9,23]]},"references-count":44,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2023,11]]}},"alternative-id":["4969"],"URL":"https:\/\/doi.org\/10.1007\/s10479-022-04969-w","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"type":"print","value":"0254-5330"},{"type":"electronic","value":"1572-9338"}],"subject":[],"published":{"date-parts":[[2022,9,23]]},"assertion":[{"value":"29 August 2022","order":1,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"23 September 2022","order":2,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}