On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach

2017 ◽  
Vol 165 (1) ◽  
pp. 5-69 ◽  
Author(s):  
Ibrahim Abada ◽  
Gauthier de Maere d’Aertrycke ◽  
Yves Smeers
Keyword(s):  
Incomplete Markets ◽  
Risk Averse ◽  
Capacity Investment ◽  
Stochastic Equilibrium ◽  
Multiplicity Of Solutions ◽  
Equilibrium Approach ◽  
Generation Capacity ◽  
Investment Models

INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH

2001 ◽  
Vol 04 (02) ◽  
pp. 211-243 ◽  
Author(s):  
A. BIZID ◽  
E. JOUINI
Keyword(s):  
Incomplete Markets ◽  
Monotone Function ◽  
A Priori ◽  
Short Sales ◽  
True Probability ◽  
No Arbitrage ◽  
Time Dynamic ◽  
Equilibrium Approach ◽  
Risk Neutral Probabilities ◽  
Security Price

We consider a general discrete-time dynamic financial market with three assets: a riskless bond, a security and a derivative. The market is incomplete (a priori) and at equilibrium. We assume also that the agents of the economy have short-sales constraints on the stock and that the payoff at the expiry of the derivative asset is a monotone function of the underlying security price. The derivative price process is not identified ex ante. This leads the agents to act as if there were no market for this asset at the intermediary dates. Using some nice properties of the pricing probabilities, which are admissible at the equilibrium, we prove that it suffices to consider the subset of the risk-neutral probabilities that overestimate the low values of the security and underestimate its high values with respect to the true probability. This approach greatly reduces the interval of admissible prices for the derivative asset with respect to no-arbitrage, as showed numerically.

scholarly journals An incentive mechanism for generation capacity investment in a price-capped wholesale power market

2020 ◽  
Vol 189 ◽  
pp. 106708
Author(s):  
Egill Tómasson ◽  
Mohammad Reza Hesamzadeh ◽  
Lennart Söder ◽  
Darryl R. Biggar
Keyword(s):  
Incentive Mechanism ◽  
Power Market ◽  
Capacity Investment ◽  
Generation Capacity

scholarly journals An approximation scheme for a class of risk-averse stochastic equilibrium problems

2016 ◽  
Vol 157 (2) ◽  
pp. 451-481 ◽  
Author(s):  
Juan Pablo Luna ◽  
Claudia Sagastizábal ◽  
Mikhail Solodov
Keyword(s):  
Approximation Scheme ◽  
Equilibrium Problems ◽  
Risk Averse ◽  
Stochastic Equilibrium
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