Energy Hedging Using Goal Programming

Energy volume hedging is nowadays very important due to the current structure of the Polish energy market. Energy buyers plan their future demand, but its structure is very heterogeneous. In most cases, energy sellers can hedge energy by purchasing highly homogeneous futures contracts; thus some part of planned demand can't be effectively hedged. Unhedged open position should be minimized because of unknown cost at time t. The aim of this paper is to propose a model of hedging electricity demand volume which minimizes open position. The problem has been solved using goal programming.