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Risky Capacity Equilibrium Models for Risk Averse Investment Equilibria with Incomplete Markets

Presented by: 
Danny Ralph
Thursday 21st March 2019 - 10:00 to 10:45
INI Seminar Room 1
"Risky Capacity Equilibrium Problems” incorporate (i) risk averse investment in power plants, (ii) financial trading to hedge those investments, and (iii) strategic production in a stochastic spot market. These models concatenate short-term electricity market (perfect competition or Cournot) with long-term investments (risk neutral or risk averse behaviour in different risk trading settings). We focus on incomplete financial markets, when not all risks can be traded, using results on “Risky Design Equilibrium Problems” and standard Nash game techniques to show existence of equilibria. Numerical results show the impact of incompleteness on equilibrium capacity and spot prices.
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Presentation Material: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons