Balancing energy strategies in electricity portfolio management ChristophM¨oller University of Karlsruhe and KIT, Schlossbezirk 12, D-76131, Karlsruhe, Germany E-mail: christoph.moeller@statistik.uni-karlsruhe.de Svetlozar T. Rachev University of Karlsruhe and KIT, Schlossbezirk 12, D-76131, Karlsruhe, Germany E-mail: rachev@statistik.uni-karlsruhe.de Frank J. Fabozzi Contact author Yale School of Management, 135 Prospect Street, New Haven, CT 06511, USA Telephone number: 001-(215) 598-8924 Fax number: 001-(215) 598-8932 E-mail: frank.fabozzi@yale.edu Acknowledgment: Rachev gratefully acknowledges research support by grants from the Division of Mathematical, Life and Physical Sciences, College of Letters and Science, Univer- sity of California, Santa Barbara, the Deutschen Forschungsgemeinschaft and the Deutscher Akademischer Austausch Dienst. We further thank Dr. Dominik M¨ ost from the Institute for Industrial Production at the University of Karlsruhe for valuable discussions and providing additional data. 1