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SUMMARY:Risky Capacity Equilibrium Models for Risk Averse Investment Equil
 ibria with Incomplete Markets - Danny Ralph (University of Cambridge)
DTSTART:20190321T100000Z
DTEND:20190321T104500Z
UID:TALK121417@talks.cam.ac.uk
CONTACT:INI IT
DESCRIPTION:"Risky Capacity Equilibrium Problems&rdquo\; incorporate (i) r
 isk averse investment in power plants\, (ii) financial trading to hedge th
 ose investments\, and (iii) strategic production in a stochastic spot mark
 et. These models concatenate short-term electricity market (perfect compet
 ition or Cournot) with long-term investments (risk neutral or risk averse 
 behaviour in different risk trading settings). We focus on incomplete fina
 ncial markets\, when not all risks can be traded\, using results on &ldquo
 \;Risky Design Equilibrium Problems&rdquo\; and standard Nash game techniq
 ues to show existence of equilibria. Numerical results show the impact of 
 incompleteness on equilibrium capacity and spot prices.
LOCATION:Seminar Room 1\, Newton Institute
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