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Risk trading and endogenous probabilities in investment equilibria

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  • RALPH, Daniel
  • SMEERS, Yves

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Suggested Citation

  • RALPH, Daniel & SMEERS, Yves, 2015. "Risk trading and endogenous probabilities in investment equilibria," LIDAM Reprints CORE 2727, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:2727
    Note: In : SIAM Journal on Optimizaiton, 25(4) 2015, p. 2589-2611
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    Cited by:

    1. Ambrosius, Mirjam & Egerer, Jonas & Grimm, Veronika & van der Weijde, Adriaan H., 2022. "Risk aversion in multilevel electricity market models with different congestion pricing regimes," Energy Economics, Elsevier, vol. 105(C).
    2. Reus, Lorenzo & Munoz, Francisco D. & Moreno, Rodrigo, 2018. "Retail consumers and risk in centralized energy auctions for indexed long-term contracts in Chile," Energy Policy, Elsevier, vol. 114(C), pages 566-577.
    3. Shu, Han & Mays, Jacob, 2023. "Beyond capacity: Contractual form in electricity reliability obligations," Energy Economics, Elsevier, vol. 126(C).
    4. Nathan Dahlin & Rahul Jain, 2020. "A Risk Aware Two-Stage Market Mechanism for Electricity with Renewable Generation," Papers 2003.06119, arXiv.org.
    5. Hélène Le Cadre & Yuting Mou & Hanspeter Höschle, 2020. "Parametrized Inexact-ADMM to Span the Set of Generalized Nash Equilibria: A Normalized Equilibrium Approach," Working Papers hal-02925005, HAL.
    6. Le Cadre, Hélène & Mou, Yuting & Höschle, Hanspeter, 2022. "Parametrized Inexact-ADMM based coordination games: A normalized Nash equilibrium approach," European Journal of Operational Research, Elsevier, vol. 296(2), pages 696-716.
    7. Arega Getaneh Abate & Rossana Riccardi & Carlos Ruiz, 2022. "Contract design in electricity markets with high penetration of renewables: A two-stage approach," Papers 2201.09927, arXiv.org, revised Jun 2022.
    8. Inzunza, Andrés & Muñoz, Francisco D. & Moreno, Rodrigo, 2021. "Measuring the effects of environmental policies on electricity markets risk," Energy Economics, Elsevier, vol. 102(C).
    9. Atakan, Semih & Gangammanavar, Harsha & Sen, Suvrajeet, 2022. "Towards a sustainable power grid: Stochastic hierarchical planning for high renewable integration," European Journal of Operational Research, Elsevier, vol. 302(1), pages 381-391.
    10. Roozbeh Qorbanian & Nils Lohndorf & David Wozabal, 2024. "Valuation of Power Purchase Agreements for Corporate Renewable Energy Procurement," Papers 2403.08846, arXiv.org.
    11. Tao, Zhenmin & Moncada, Jorge Andres & Delarue, Erik, 2023. "Exploring the impact of boundedly rational power plant investment decision-making by applying prospect theory," Utilities Policy, Elsevier, vol. 82(C).
    12. Zakeri, Golbon & Pritchard, Geoff & Bjørndal, Mette & Bjørndal, Endre, 2016. "Pricing wind: A revenue adequate, cost recovering uniform price for electricity markets with intermittent generation," Discussion Papers 2016/15, Norwegian School of Economics, Department of Business and Management Science.
    13. Biefel, Christian & Liers, Frauke & Rolfes, Jan & Schewe, Lars & Zöttl, Gregor, 2022. "Robust market equilibria under uncertain cost," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1230-1241.
    14. Kramer, Anja & Krebs, Vanessa & Schmidt, Martin, 2021. "Strictly and Γ-robust counterparts of electricity market models: Perfect competition and Nash–Cournot equilibria," Operations Research Perspectives, Elsevier, vol. 8(C).
    15. Han Shu & Jacob Mays, 2022. "Beyond capacity: contractual form in electricity reliability obligations," Papers 2210.10858, arXiv.org.
    16. Ibrahim Abada & Andreas Ehrenmann & Yves Smeers, 2017. "Modeling Gas Markets with Endogenous Long-Term Contracts," Operations Research, INFORMS, vol. 65(4), pages 856-877, August.
    17. Abate, Arega Getaneh & Riccardi, Rossana & Ruiz, Carlos, 2022. "Contract design in electricity markets with high penetration of renewables: A two-stage approach," Omega, Elsevier, vol. 111(C).
    18. de Maere d’Aertrycke, Gauthier & Ehrenmann, Andreas & Smeers, Yves, 2017. "Investment with incomplete markets for risk: The need for long-term contracts," Energy Policy, Elsevier, vol. 105(C), pages 571-583.
    19. Michael C. Ferris & Andy Philpott, 2023. "Renewable electricity capacity planning with uncertainty at multiple scales," Computational Management Science, Springer, vol. 20(1), pages 1-40, December.
    20. Botor, Benjamin & Böcker, Benjamin & Kallabis, Thomas & Weber, Christoph, 2021. "Information shocks and profitability risks for power plant investments – impacts of policy instruments," Energy Economics, Elsevier, vol. 102(C).

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