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Danny Ralph (University of Cambridge)
Thursday 21 March 2019, 10:00-10:45
Risky Capacity Equilibrium Models for Risk Averse Investment Equilibria with Incomplete Markets
- đ¤ Speaker: Danny Ralph (University of Cambridge)
- đ Date & Time: Thursday 21 March 2019, 10:00 - 10:45
- đ Venue: Seminar Room 1, Newton Institute
Abstract
“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.
Series This talk is part of the Isaac Newton Institute Seminar Series series.
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