The Impact of Skewness on Electricity Contract Purchase Decisions: A Sensitivity-Based Analysis

This paper investigates how the skewness of the forward premium distribution affects electricity retailers' contract purchase decisions. Building on a mean-variance-skewness framework, we analyze the retailer's sensitivity to upward and downward price risks under various market uncertainty levels. Using numerical simulations calibrated to realistic electricity market conditions, our results indicate that positive skewness (right-tailed risk) substantially alters optimal hedging ratios compared to symmetric or negatively skewed environments. These findings provide insight into how non-linear risk preferences and distributional asymmetries should be incorporated into retail electricity procurement strategies and risk management models.

کلیدواژه ها:

Electricity Contracts ، Skewness ، Forward Premium ، Risk Preferences ، Hedging ، Market Design