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dc.contributor.author Cotter, John
dc.contributor.author Hanly, Jim
dc.date.accessioned 2012-01-31T16:31:42Z
dc.date.available 2012-01-31T16:31:42Z
dc.date.copyright 2011 Elsevier B.V. en
dc.date.issued 2012-05
dc.identifier.citation Energy Economics en
dc.identifier.issn 0140-9883
dc.identifier.uri http://hdl.handle.net/10197/3463
dc.description.abstract A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses this issue by estimating and applying energy market based risk aversion to commonly applied utility functions including log, exponential and quadratic, and we incorporate these in our hedging frameworks. We find significant differences in the optimal hedge strategies based on the utility function chosen. en
dc.description.sponsorship Science Foundation Ireland en
dc.format.extent 399944 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Elsevier en
dc.relation.requires Business Research Collection en
dc.rights This is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Energy Economics (in press) DOI: 10.1016/j.eneco.2011.07.009 en
dc.subject Energy en
dc.subject Hedging en
dc.subject Risk management en
dc.subject Risk aversion en
dc.subject Forecasting en
dc.subject G10 en
dc.subject G12 en
dc.subject G15 en
dc.subject.classification G10 en
dc.subject.classification G12 en
dc.subject.classification G15 en
dc.subject.lcsh Hedging (Finance) en
dc.subject.lcsh Power resources en
dc.subject.lcsh Risk management en
dc.subject.lcsh Utility theory--Mathematical models en
dc.title A utility based approach to energy hedging en
dc.type Journal Article en
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version
dc.internal.webversions http://dx.doi.org/10.1016/j.eneco.2011.07.009
dc.status Peer reviewed en
dc.identifier.volume 34 en
dc.identifier.issue 3
dc.identifier.startpage 817
dc.identifier.endpage 827
dc.identifier.doi 10.1016/j.eneco.2011.07.009
dc.neeo.contributor Cotter|John|aut|
dc.neeo.contributor Hanly|Jim|aut|
dc.description.admin ti, ke, kpw13/1/12 en


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