forward contracts for the operation of an electricity industry under spot pricing a study is reported of the use of forward contracts as risk instruments for electricity industries operating under spot pricing forward contracts involve financial transactions or commitments which relate to a physical trade at a later time instance price setting and appropriate participant responses are discussed simulation studies are used to demonstrate that forward contracts offer participants an opportunity to reduce their risk exposure without removing the incentive to respond to higher spot prices

effects of farm size education and off farm income on productive efficiency of dairy farmers in utah a stochasitc frontier approach this study is primarily concerned with investigating the technical allocative and scale inefficiency of owner operators of dairy farms in utah a stochastic production frontier has been applied to analyze these inefficiencies the results indicate that there is positive association between years of education and productivity of labor and capital productivity is also found to be negatively related to off farm income regarding the effects of farm size on efficiency it is found that large farms are the most efficient of all sizes considered separate estimates of technical allocative and scale inefficiencies indicate that large and medium sized farms are technically more efficient than small farms large farms on average are found to be performing much better than medium sized and small farms so far as allocative and scale inefficiency are concerned copyright 1989 by mit press

modeling and pricing of block flexible electricity contracts this paper presents a model for block flexible electricity contracts bfec and focuses on pricing the bfec based on the principle of no arbitrage energy is traded in blocks according to its time duration at different block prices which is called block trading the bfec requires the buyer or the seller to schedule its trading amount and the certain block of power at each time interval the block trading needs to divide the power into several blocks the prices of each power block are obtained from market clearing price by using the autoregressive model ar n as stochastic block price model an optimal scheduling strategy can be achieved by stochastic dynamic programming the price of bfec is determined by the variables and schedule of the bfec contracts with different choices of block are studied and the simulations illustrate the block flexible electricity contracts can improve power market efficiency

optimization based generation asset allocation for forward and spot markets one of the most important daily decisions that a genco has to make is to allocate generation assets between the forward and spot markets that is how much capacity should be contracted in the forward market and how much should be kept to bid in spot market this paper focuses on generation asset allocation between monthly forward contracts such as bilateral contracts futures contracts options contracts and daily spot markets considering operating costs and constraints of generating units as well as spot price risk the problem is to find the optimal hedging position based on the known forward price and the forecasted hourly spot prices and is formulated based on the model of pjm market the double dynamic programming method is applied to solve this optimal asset allocation problem with all the short term operating constraints of the generating unit satisfied three types of forward contracts that are commonly used in practice are considered and their impact on generation asset allocation are analyzed and compared the analytic relationship between the optimal contract quantity of a particular type and spot generation is established based on this relationship the applicability and characteristics of a particular type of contract are discussed furthermore with the solution to the generation asset allocation problem as a basis the pricing strategy in the forward market is analyzed a nash game model is established and an iterative process is developed to determine the equilibrium pricing of futures contracts numerical testing shows that the method for the generation asset allocation is effective various factors influencing the decision of generation asset allocation and the relationship between futures contract price and spot price are tested and analyzed

social comparisons of wage increases and job satisfaction abstractwe combine status quo and social comparison considerations and investigate whether relative wage increases in the sense of differences between individual wage increases and wage increases of comparable employees are related to managers job satisfaction using a panel data set of managers in the german chemical industry we indeed find first evidence the relation between relative wage increases and job satisfaction is relevant for managers with lower absolute wage levels in particular

measuring enterprise efficiency in the soviet union a stochastic frontier analysis western economists of diverse persuasions broadly concur that in pursuit of full employment sustained growth and macroecdnomic stability the soviets have built an economic system that imposes sundry constraints on enterprise management and substitutes centralized resource allocation for the automatic market mechanism these expedients to the extent that they have prevented resources from being directed to their best use have imposed efficiency losses on the economy of unknown but perhaps significant dimensions numerous western scholars have inferred from this command economy paradigm as well as from international productivity comparisons that these efficiency losses are large however the proper attribution of these efficiency losses to microlevel sources i e inefficient enterprise operation and to higher level sources i e resource misallocation among enterprises branches etc has been the subject of more speculation than evidence this is because until recently requisite micro level data on enterprise operations were unavailable in a form suitable for empirical analysis of enterprise efficiency this deficiency now has been partially remedied for one sub sector of the soviet economy the cotton refining industry estimates of technical efficiency reported in this study computed using stochastic frontier techniques with a sample of 151 cotton refining enterprises suggest that productive efficiency is high relative to the estimated frontier and exhibits little dispersion this finding in turn suggests that soviet planning administrative procedures and managerial incentive systems may be reasonably effective in controlling overt technical inefficiency by inducing cotton refining enterprises to operate close to the standards established by the most technically efficient enterprises in the industry although these domestic best practice standards may be absolutely high or absolutely low by international standards and may not fully reflect engineering potential our finding of high modal efficiency relative to these standards together with little dispersion does constitute an important piece of evidence bearing on the sources of efficiency loss in the soviet economy this finding suggests that inter enterprise efficiency variation may not be a promising place to look for sources of efficiency loss

productivity and technical choice applications to the textile industry abstract this paper analyzes past choices of technology and present levels of productivity in the philippines cotton spinning and weaving industries detailed engineering and economic information are used to assess the costs of alternative technologies to estimate levels of productivity relative to international standards of best practice and to analyze the sources of productivity short falls high costs of production are due both to inappropriate technological choices and to low productivity in the use of the technologies chosen the major sources of low productivity are lack of sufficient firm level specialization among product varieties and deficient firm level technological capabilities inadequate labor skills are not a major problem the discussion emphasizes the general applicability of the analysis wherever low productivity is likely to be a problem

privatization technical efficiency and welfare consequences the case of the cote d ivoire electricity company cie abstract in 1990 cote d ivoire privatized the management of its electric power company lease contracting in this paper we are interested in identifying the economic effect of this institutional change by estimating a stochastic production frontier we have found that productive efficiency improved after privatization thanks to organizational innovations total factor productivity gains have been closely associated with a cost reduction strategy the way these gains have been distributed in a monopoly context suggests that consumers have been the main beneficiaries through a significant decrease of the relative price of electricity

weekly self scheduling forward contracting and pool involvement for an electricity producer an adaptive robust optimization approach abstract this paper addresses the optimization under uncertainty of the self scheduling forward contracting and pool involvement of an electricity producer operating a mixed power generation station which combines thermal hydro and wind sources and uses a two stage adaptive robust optimization approach in this problem the wind power production and the electricity pool price are considered to be uncertain and are described by uncertainty convex sets to solve this problem two variants of a constraint generation algorithm are proposed and their application and characteristics discussed both algorithms are used to solve two case studies based on two producers each operating equivalent generation units differing only in the thermal units characteristics their market strategies are investigated for three different scenarios corresponding to as many instances of electricity price forecasts the effect of the producers approach whether conservative or more risk prone is also investigated by solving each instance for multiple values of the so called budget parameter it was possible to conclude that this parameter influences markedly the producers strategy in terms of scheduling profit forward contracting and pool involvement these findings are presented and analyzed in detail and an attempted rationale is proposed to explain the less intuitive outcomes regarding the computational results these show that for some instances the two variants of the algorithms have a similar performance while for a particular subset of them one variant has a clear superiority

financial optimization in the turkish electricity market markowitz s mean variance approach abstract electricity constitutes the input into many products that produced by industry and used by people hence it can be considered as a product or service that has vital importance in human life and economy since it has such special properties of instantaneous production and consumption obligation and unfeasible storage electricity market is not like other markets in a competitive electricity market generation company faces price risks and delivery risks so that risk management is an important part of a generation company and can deeply effect companies profitability this paper focuses on electricity generation asset allocation between bilateral contracts such as forward contracts and daily spot market considering constraints of generating units and spot price risks the problem is to find the optimal portfolio based on known electricity generation total costs bilateral contract prices it employed turkish historical balanced market hourly system marginal and day ahead hourly market prices between of 2006 and 2011 there are limited studies about portfolio optimization in electricity markets in literature and this paper should be considered frontier study taking spot market s hourly prices separately as risky assets markowitz mean variance optimization which is claimed to be the beginning of modern portfolio theory in financial sector is used to demonstrate this approach mean variance optimization has been successfully applied to all cases that modeled for electricity market some suggestions for future work are also listed in this paper

optional forward contracts for electric power markets this paper extends the idea of callable forward contracts which are potentially useful as demand side interruptible load contracts to their supply side analogues together these contracts allow market participants to take advantage of flexibility in generation or consumption to obtain a monetary benefit while simultaneously removing the risk of market price fluctuations this paper also considers the effects of strategic behavior on the part of market participants in their contract sales purchase decisions

a generalized production frontier approach for estimating determinants of inefficiency in u s dairy farms this article investigates farm level efficiency of u s dairy farmers by estimating their technical and allocative efficiency technical inefficiency is assumed to be composed of a deterministic component that is a function of some farm specific characteristics and a random component by doing this we extend the stochastic frontier methodology in which determinants of technicial inefficiency are explicitly introduced in the model given the inputs variations in efficiency of farms are then explained by both deterministic and random components of technical inefficiency the empirical results indicate that a levels of education of the farmer are important factors determining technical inefficiency and b large farms are more efficient technically than small and medium sized farms both technical and allocative inefficiency are found to decrease with increase in the level of education of the farmer

risk assessment in energy trading this paper provides a state of the art summary of risk assessment in energy trading techniques from financial engineering are needed by electric energy companies to manage price risk these tools are needed by suppliers distributors and traders in a competitive electric power marketplace tools that have been adapted to the specific environment of the electric power system include portfolio analysis and hedging instruments this paper provides a comprehensive critical literature survey of what has been applied to date in the power markets and which areas continue to need additional research one example market scenario is used throughout the paper to demonstrate the usefulness of the risk assessment methods

scale factor intensity and efficiency an empirical study of the chinese coal industry this paper deals with the interrelationship among firm scale factor intensity and efficiency using the chinese industrial survey data in 1985 and stochastic frontier models according to empirical

purchase allocation and demand bidding in electric power markets the purchase allocation problem is one of the most important problems faced by an electric energy service provider under new market environments the optimal purchase allocation problem for dual electric power markets and demand bid generation are discussed in this paper the price volatility is explicitly considered in purchase allocation problems and the sequential nature is modeled by conditional stochastic characteristics an analytical solution for the optimal allocation is derived with given demand and statistical characteristics of the market prices the method for generating demand bids for purchaser based on market allocation and price forecasting is then developed the numerical simulations for market allocation and bid generation are demonstrated based on the actual data of the u s california power market

hedging with futures contracts in a deregulated electricity industry this paper is a statistical study of direct and cross hedging strategies using futures contracts in an electricity market a comparison of the strategies is based on the standard deviation or risk of the values of the hedging positions results indicate that the use of electricity futures contracts is superior to using other related futures contracts such as crude oil

energy price forecasting in the ontario competitive power system market this paper introduces a method for forecasting energy prices using artificial intelligence methods such as neural networks and fuzzy logic and a combination of the two the new approach is compared with some of the exiting methods various factors affecting the market clearing price are investigated results for the ontario electricity market are presented

portfolio optimization under lower partial moments in emerging electricity markets evidence from turkey abstract optimization of the electricity markets under modern portfolio theory has a crucial role for financial decision makers power suppliers in deregulated electricity markets need to optimize their generation capacities and bidding strategies so as to effectively participate in bilateral contract and spot markets market players have to deal with continuously changing electricity prices in competitive electricity market environment during their daily routine system operations electricity not like the others is a unique product service and cannot be stored economically however it should be generated and consumed simultaneously in addition to all power suppliers face with fuel price water regime delivery and network risks in view of the scene described above prudent decision making methodologies are of critical importance to maximize profit while minimizing managing risks this paper presents a comprehensive comparison of mean variance down side and semi variance methods for optimization in electricity markets and the corresponding methodologies to maximize the return while minimizing risk real turkish day ahead market data set between december 2009 and december 2012 is used in numerical calculations generation cost data of hydraulic plants lignite coal fired thermal power plants and natural gas combined cycle power plants are taken into consideration in the course of optimization evaluations in the present of real data these methods can also be applied to renewable energy generation types these three methods were able to be applied to all case scenarios effectively and produced efficient frontiers optimal minimal portfolios and utility functions successfully the results have revealed that the methods significantly provide decisions for power suppliers with different risk aversion levels and for various instruments to maximize the profit while minimizing the associated market risks and to meet generation obligations consequently financial optimization under lower partial moments constraints would give notable results in analyzing the efficient frontiers for electricity markets in turkey

who compares to whom the anatomy of income comparisons in europe this article provides unprecedented direct evidence from large scale survey data on both the intensity how much and direction to whom of income comparisons income comparisons are considered to be at least somewhat important by three quarters of europeans they are associated with both lower levels of subjective well being and a greater demand for income redistribution the rich compare less and are happier than average when they do which latter is consistent with relative income theory with respect to the direction of comparisons colleagues are the most frequently cited reference group those who compare to colleagues are happier than those who compare to other benchmarks

the measurement and sources of technical inefficiency in the indonesian weaving industry production function models are estimated with a time series of cross section data on indonesian weaving establishments the sources of technical inefficiency are investigated three firm attributes are identified as being potentially related to firm efhciency tbey are firm ownership age and size the importance of these attributes as sources of inefficiency in the indonesian weaving industry is investigated and the implications of the find ings discussed

managing price risk in a multimarket environment in a competitive electricity market a generation company genco can manage its trading risk through trading electricity among multiple markets such as spot markets and contract markets the question is how to decide the trading proportion of each market in order to maximize the genco s profit and minimize the associated risk based on the mean variance portfolio theory this paper proposes a sequential optimization approach to electric energy allocation between spot and contract markets taking into consideration the risks of electricity price congestion charge and fuel price especially the impact of the fuel market on electric energy allocation is analyzed and simulated with historical data in respect of the electricity market and other fuel markets in the u s simulation results confirm that the proposed analytic approach is consistent with intuition and therefore reasonable and feasible for a genco to make a trading plan involving risks in an electricity market

pricing flexible electricity contracts this paper is concerned with pricing of electricity contracts that allow flexible scheduling of the supply or demand of electric energy the contracts are priced based on the principle of no arbitrage variables of the contracts are used to determine arbitrage opportunities and the price of contracts pricing of flexible contracts involves a scheduling policy by representing the spot price with an appropriate stochastic process the scheduling policy can be found using stochastic dynamic programming simulation examples illustrate the tradeoffs between prices and scheduling flexibility