Abstract
In this paper, we design and evaluate eight different strategies for hedging commodity price risks of industrial cogeneration plants. Price developments are parameterized based on EEX data from 2008 to 2011. The probability distributions derived are used to determine the value-at-risk (VaR) of the individual strategies, which are in a final step combined in a mean-variance portfolio analysis for determining the most efficient hedging strategy. We find that the strategy adopted can have a marked influence on the remaining price risk. Quarter futures are found to be particularly well suited for reducing market price risk. In contrast, spot trading of CO 2 certificates is found to be preferable compared to forward market trading. Finally, portfolio optimization shows that a mix of various hedging strategies can further improve the profitability of a heat-based cogeneration plant. • Evaluation of commodity price risk hedging strategies for industrial cogeneration. • Value-at-risk analysis of eight different hedging strategies. • Mean-variance portfolio analysis for determining the optimal hedging strategy mix. • A mix of hedging strategies further improves profitability of heat-based CHP.
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