On risk averse competitive equilibrium

Henri Gérard; Vincent Leclère; Andy Philpott

doi:10.1016/j.orl.2017.10.011

On risk averse competitive equilibrium

Henri Gérard
, Vincent Leclère
, Andy Philpott

École des ponts
Université Gustave Eiffel
University of Auckland

Research output: Contribution to journal › Article › peer-review

Abstract

We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to social planning models, we show by example that risked equilibria are not unique, even when agents’ objective functions are strictly concave. We also show that standard computational methods find only a subset of the equilibria, even with multiple starting points.

Original language	English
Pages (from-to)	19-26
Number of pages	8
Journal	Operations Research Letters
Volume	46
Issue number	1
DOIs	https://doi.org/10.1016/j.orl.2017.10.011
Publication status	Published - 1 Jan 2018

Keywords

Electricity markets
Risk averse equilibrium
Stochastic equilibrium
Stochastic programming

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10.1016/j.orl.2017.10.011

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title = "On risk averse competitive equilibrium",

abstract = "We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to social planning models, we show by example that risked equilibria are not unique, even when agents{\textquoteright} objective functions are strictly concave. We also show that standard computational methods find only a subset of the equilibria, even with multiple starting points.",

keywords = "Electricity markets, Risk averse equilibrium, Stochastic equilibrium, Stochastic programming",

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AU - Leclère, Vincent

AU - Philpott, Andy

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N2 - We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to social planning models, we show by example that risked equilibria are not unique, even when agents’ objective functions are strictly concave. We also show that standard computational methods find only a subset of the equilibria, even with multiple starting points.

AB - We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to social planning models, we show by example that risked equilibria are not unique, even when agents’ objective functions are strictly concave. We also show that standard computational methods find only a subset of the equilibria, even with multiple starting points.

KW - Electricity markets

KW - Risk averse equilibrium

KW - Stochastic equilibrium

KW - Stochastic programming

UR - https://www.scopus.com/pages/publications/85034636382

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DO - 10.1016/j.orl.2017.10.011

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On risk averse competitive equilibrium

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Keywords

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