Purpose – The non‐storable nature of electricity and the increasing complexity of financial instruments as a tool for hedging against risk make the area of research very useful in the real world. Many power portfolio optimization problems have been developed to combat the issue of risk...

The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...