Optimal Hedging and Carryover Storage Value
Optimal Hedging and Carryover Storage Value
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DOI：
10.1061/(asce)0733-9496(2004)130:1(83
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发表时间：
2004
影响因子：
3.1
通讯作者：
A. Draper;J. Lund
中科院分区：
文献类型：
--
作者：
A. Draper;J. Lund
建立和讨论了水库放水最优套期保值的性质。对释放多少水用于有益用途和保留多少水以备将来可能使用的基本决策进行了分析。在最优套期保值和结转存储价值之间建立了明确的对应关系。这种对套期保值规则更具分析性的观点有助于更好地理解最优套期保值，并简化套期保值操作规则的数值优化。这些推导表明，供水运营的两点套期保值政策经常是最优或接近最优的。
Properties of optimal hedging for water supply releases from reservoirs are developed and discussed. The fundamental decision of how much water to release for beneficial use and retain for potential future use is examined analytically. Explicit correspondence is established between optimal hedging and the value of carryover storage. This more analytical view of hedging rules is useful for better understanding optimal hedging and simplifying numerical optimization of hedging operating rules. The derivations suggest the frequent optimality or near-optimality of two-point hedging policies for water supply operations.